I've just published
RustQuant on crates.io.
It's currently a spare-time project and I welcome any feedback or suggestions.
Some features include:
reverse mode automatic (algorithmic) differentiation,
option pricing (closed-form, Monte-Carlo),
stochastic process generation.
It's very early stages and hopefully I can add more features soon. Adding more option pricers and starting the bond pricers are the current to-dos.
You can find it here:
Really cool to see some work in this space.
Thank you !
I started looking at Rust a 4-5 months ago and I was surprised to see so few quantitative finance crates available, as it seems like a very good language for it.
So hopefully people can give me some suggestions on what to improve and add to the crate to make it more useful.
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