RustQuant
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avhz
Rust library for quantitative finance.
## *This branch is still a work in progress* This PR is for addressing the issues raised by @avhz in [this comment](https://github.com/avhz/RustQuant/issues/98#issuecomment-2078053371) - the code in question was initially merged...
A `Curve` type could represent a yield curve or discount curve, or volatility term structure, for example.
This involves: ### 1: Adding a new `Market` enum variant in `calendar.rs` Add either: - A new country (e.g. Australia). - Or an MIC code (e.g. XASX) if for a...
This is the roadmap for getting RustQuant to a solid `v1`. High priority to-do list: - [ ] #303 - [ ] #245 - [ ] #88 - [ ]...
A `Surface` type could represent a volatility surface, for example. It would simply by a type with a `space` dimension (e.g. strikes, spot) and a `time` dimension (e.g. dates, seconds,...
Re-work bond pricing module once the foundations (such as calendars, day-counting, curves) are implemented.
The `Variable` struct has a reference to the `Graph` struct. This is causing a lot of issues, namely it prevents: - Adding support for `ndarray` and `nalgebra`. - Python bindings...
There's a lot of code where methods are implemented on different type of numbers(f64, i64, u64, f32, etc...) Example of file: https://github.com/avhz/RustQuant/blob/main/src/utilities/sequence.rs Wouldn't it make sense to reduce the amount...
