rustquant
https://github.com/avhz/rustquant
Rust
Rust library for quantitative finance.
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- Issues
- docs: added a link to the license badge
- quote.rs - documentation improvement and small fix
- Longstaff-Schwartz Method for Pricing American Options
- chore: release v0.4.1
- Feature implementations: Make Variable and Graph generic to support possible symbolic differentiation
- Finite-difference pricer tests failing.
- Monte-Carlo Engine, seed parameter implementation and new numerical schemes for SDEs
- Pricers: Re-work `instruments::options` module.
- Implementation of the Milstein Scheme + a Monte Carlo Engine
- Implement Cashflow Schedule Generation in Time Module for Pricing Models and Instruments
- Docs
- Rust not yet supported