rustquant
https://github.com/avhz/rustquant
Rust
Rust library for quantitative finance.
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- Issues
- `autodiff`: add support for nalgebra matrices/vectors.
- Tests: Increase coverage to 90% +.
- `statistics`: finish `Distribution` trait impls.
- Create `Python` bindings using `pyo3` and `maturin`.
- Implement interpolation modules.
- Documentation: improve docs.
- Implement calibration module using `argmin` crate.
- Decrease compile time.
- Pricers: Asian options.
- Pricers: American options.
- Docs
- Rust not yet supported