rustquant
https://github.com/avhz/rustquant
Rust
Rust library for quantitative finance.
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- Issues
- Implement finite-difference pricers.
- `autodiff`: add support for Jacobian and Hessian matrices.
- Re-work `instruments::bonds` pricing.
- Migrate over to num crate
- `autodiff`: improve the Graphviz visualisations.
- `autodiff`: re-structure to avoid lifetimes.
- Autodiff Forward (Tangent) Mode
- `RustQuant::autodiff`: add support for nalgebra matrices/vectors.
- Increase test coverage to 90% +.
- `RustQuant::statistics`: finish `Distribution` trait impls.
- Docs
- Rust not yet supported