RustQuant v0.0.11: Some new functions

I've released RustQuant v0.0.11 (a library for Quantitative Finance) on 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.

This topic was automatically closed 90 days after the last reply. We invite you to open a new topic if you have further questions or comments.