rustquant
https://github.com/avhz/rustquant
Rust
Rust library for quantitative finance.
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- Issues
- chore: release v0.3.2
- Finite-difference pricer tests failing.
- Monte-Carlo Engine, seed parameter implementation and new numerical schemes for SDEs
- Pricers: Re-work `instruments::options` module.
- Implement `Exercise` type.
- Implementation of the Milstein Scheme + a Monte Carlo Engine
- Implement Cashflow Schedule Generation in Time Module for Pricing Models and Instruments
- Roadmap to `v1`
- Feature Request: Implement `get_weights()` method for `Portfolio`
- Implement a `Surface` type.
- Docs
- Rust not yet supported