I've released RustQuant v0.0.11 (a library for Quantitative Finance) on https://crates.io/crates/RustQuant and GitHub - avhz/RustQuant: Rust library for quantitative finance.
The new additions include:
- Heston Model option pricer (uses the tanh-sinh quadrature numerical integrator).
- Tanh-sinh (double exponential) quadrature for evaluating integrals.
- Plus other basic numerical integrators (midpoint, trapezoid, Simpson's 3/8).
- Characteristic functions and density functions for common distributions:
- Gaussian, Bernoulli, Binomial, Poisson, Uniform, Chi-Squared, Gamma, and Exponential.
Any comments/feedback/suggestions are greatly appreciated.