Hi everyone,
I shared my project here back in December. Uni has kept me pretty busy but I've made a bit of progress on it and I am hoping to get some feedback, users, and possibly some contributors!
Some features:
- Automatic differentiation
- Numerical integration
- Option pricing (vanilla, exotic, greeks)
- Stochastic process generators (ABM, GBM, short rates, etc)
- Bond pricing (minimal, needs work)
- Statistical distributions
The repository can be found here: GitHub - avhz/RustQuant: Rust library for quantitative finance.
And the crate is available here: https://crates.io/crates/RustQuant
Thank you in advance for any feedback or suggestions, and hopefully some usage!