kalam360 / quantlib-1

The idiomatic rust implementation of the QuantLib C++ quantitative finance library

Crate · Installation · Configuration

The idiomatic Rust implementation of QuantLib, the standard for professional quantitative finance applications.

This project is still under active development and not guaranteed to have a stable API.

The alpha release version is aiming for:

• Familiar interfaces: A library api that resembles the original.
• High test coverage: 90% or more.
• Idiomatic rust: architecture that takes full advantage of language features.
• Easy: intuitive to understand coupled with extensive documentation. 🚀

💬 About

The QuantLib project (http://quantlib.org) is aimed at providing a comprehensive software framework for quantitative finance. QuantLib is a free/open-source library for modeling, trading, and risk management in real-life.

Appreciated by quantitative analysts and developers, it is intended for academics and practitioners alike, eventually promoting a stronger interaction between them. QuantLib offers tools that are useful both for practical implementation and for advanced modeling, with features such as market conventions, yield curve models, solvers, PDEs, Monte Carlo (low-discrepancy included), exotic options, VAR, and so on.

🚀 Installation

Add this to your Cargo.toml:

[dependencies]
quantlib = "0.1.0"

and this to your crate root:

extern crate quantlib;