https://github.com/avhz/RustQuant

Rust library for quantitative finance.
https://github.com/avhz/RustQuant

finance machine-learning math mathematics option-pricing quantitative-finance quantlib regression rust rust-lang statistics stochastic-processes trading

Last synced: about 1 month ago
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Rust library for quantitative finance.

• Host: GitHub
• URL: https://github.com/avhz/RustQuant
• Owner: avhz
• License: apache-2.0
• Created: 2022-08-31T10:03:24.000Z (over 2 years ago)
• Default Branch: main
• Last Pushed: 2024-10-30T22:18:02.000Z (about 1 month ago)
• Last Synced: 2024-11-04T17:46:17.499Z (about 1 month ago)
• Topics: finance, machine-learning, math, mathematics, option-pricing, quantitative-finance, quantlib, regression, rust, rust-lang, statistics, stochastic-processes, trading
• Language: Rust
• Homepage: https://avhz.github.io
• Size: 50.5 MB
• Stars: 1,125
• Watchers: 28
• Forks: 129
• Open Issues: 30
• Metadata Files:
  • Readme: README.md
  • Changelog: CHANGELOG.md
  • License: LICENSE-APACHE.md

Awesome Lists containing this project

• awesome-rust - avhz/RustQuant
• awesome-rust - avhz/RustQuant - A quantitative finance library.  (Libraries / Finance)
• fucking-awesome-rust - avhz/RustQuant - A quantitative finance library.  (Libraries / Finance)

README

        
![](./images/logo.png)



    

        

    

        

    

        

        

    

        





    

        

    

        

    

        

    





    

        



A Rust library for quantitative finance.

:dart: If you are an experienced quant developer in any language and would like to help out, feel free to contact me!



| Email                        | Discord                         | Latest Changes              |

|:----------------------------:|:-------------------------------:|:---------------------------:|

|  |  | [Changelog](./CHANGELOG.md) |



## Modules

| Module | Description |

|--------|-------------|

| [`autodiff`](https://docs.rs/RustQuant/latest/RustQuant/autodiff/index.html) | Algorithmic adjoint differentiation (AAD) for efficiently computing gradients of scalar output functions $f: \mathbb{R}^n \rightarrow \mathbb{R}$. |

| [`cashflows`](https://docs.rs/RustQuant/latest/RustQuant/cashflows/index.html) | Implementations for `Cashflows` and `Quotes`, and similar types. |

| [`data`](https://docs.rs/RustQuant/latest/RustQuant/data/index.html) | Data types that can be used for pricing and similar tasks (curves, term-structures, surfaces, etc). Methods for reading and writing data from/to various sources (CSV, JSON, Parquet). Can also download data from Yahoo! Finance. |

| [`error`](https://docs.rs/RustQuant/latest/RustQuant/error/index.html) | RustQuant error handling module. |

| [`instruments`](https://docs.rs/RustQuant/latest/RustQuant/instruments/index.html) | Implementations for financial instruments like `Bonds`, `Options`, and `Money`, including their pricing. Future additions will include swaps, futures, CDSs, etc. |

| [`iso`](https://docs.rs/RustQuant/latest/RustQuant/iso/index.html) | A few ISO code implementations: [ISO-4217](https://www.iso.org/iso-4217-currency-codes.html) (currency codes), [ISO-3166](https://www.iso.org/iso-3166-country-codes.html) (country codes), [ISO-10383](https://www.iso20022.org/market-identifier-codes) (market identifier codes). |

| [`math`](https://docs.rs/RustQuant/latest/RustQuant/math/index.html) | Statistical distributions and their related functions (PDF, CDF, CF, etc), Fast Fourier Transform (FFT), numerical integration (double-exponential quadrature), optimisation/root-finding (gradient descent, Newton-Raphson), and risk-reward metrics. Also some sequence methods such as `linspace` and `cumsum`. |

| [`ml`](https://docs.rs/RustQuant/latest/RustQuant/ml/index.html) | Currently only linear and logistic regression, along with k-nearest neighbours classification are implemented. More to come in the future. |

| [`macros`](https://docs.rs/RustQuant/latest/RustQuant/macros/index.html) | Currently only `plot_vector!()` and `assert_approx_equal!()`. |

| [`models`](https://docs.rs/RustQuant/latest/RustQuant/models/index.html) | Various models commonly used in quantitative finance, such as the various forms of Brownian Motion, short rate models, curve models, etc. |

| [`portfolio`](https://docs.rs/RustQuant/latest/RustQuant/portfolio/index.html) | Implementation of a portfolio type, which is a collection (`HashMap`) of `Position`s. |

| [`stochastics`](https://docs.rs/RustQuant/latest/RustQuant/stochastics/index.html) | Stochastic process generators for Brownian Motion (standard, arithmetic, fractional, and geometric) and various short-rate models (CIR, OU, Vasicek, Hull-White, etc). |

| [`time`](https://docs.rs/RustQuant/latest/RustQuant/time/index.html) | Time and date functionality, such as `DayCounter`, calendars, constants, conventions, schedules, etc. |

| [`trading`](https://docs.rs/RustQuant/latest/RustQuant/trading/index.html) | Currently only a basic limit order book (LOB). Hopefully adding additional trading tools in the future. |

## Examples

See [/examples](./examples) for various uses of RustQuant. You can run them with:

```bash

cargo run --example 

```

> [!NOTE]  

> Disclaimer: This is currently a free-time project and not a professional financial software library. Nothing in this library should be taken as financial advice, and I do not recommend you to use it for trading or making financial decisions.



    

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