rustquant
https://github.com/avhz/rustquant
Rust
Rust library for quantitative finance.
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- Issues
- Roadmap to `v1`
- Implement a `Surface` type.
- Add more calendars.
- Pricers: Interest Rate Swaps.
- Implement `num_traits::identities::{One, Zero}` for `Variable`
- `Curve` implementations.
- `autodiff`: add support for Jacobian and Hessian matrices.
- Pricers: Re-work `instruments::bonds` module.
- `autodiff`: improve the Graphviz visualisations.
- `autodiff`: re-structure to avoid lifetimes.
- Docs
- Rust not yet supported