rustquant
https://github.com/avhz/rustquant
Rust
Rust library for quantitative finance.
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- Issues
- x86_64-pc-windows-gnu vs x86_64-pc-windows-msvc
- Roadmap to `v1`
- Implement a `Curve` type.
- feat: Portfolio to have a get_weights() function or something similar
- Implement a `Surface` type.
- Add more calendars.
- Implement Interest Rate Swap pricer.
- Unify `ml` input data type to one interface
- Implement `num_traits::identities::{One, Zero}` for `Variable`
- `RustQuant::term_structures` - yield curves.
- Docs
- Rust not yet supported