RustQuant

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`Interpolator`s to-do list: - [x] Linear - [x] Exponential - [ ] B-Splines - [ ] Polynomial

avhz

Feature Request: Implement `get_weights()` method for `Portfolio`

1

# Idea I am interested in measuring the performance of a variety of rebalance strategies (threshold / interval). For the threshold rebalances you rebalance if weights deviate from some target...

0xJepsen

`autodiff`: improve the Graphviz visualisations.

4

There are problems with the Graphviz plotting of the computation graphs in `autodiff`: - [ ] The nodes don't indicate the operation that took place (e.g. `+`, `sin`). - [...

avhz

Need to write doc-tests for the remaining distributions: - [x] Bernoulli - [x] Binomial - [x] Chi-Squared - [x] Exponential

avhz

Pricers: Interest Rate Swaps.

2

avhz

Unify `ml` input data type to one interface

3

Many `ml` algorithms use a similar (or verbatim) same type of input. i.e. a matrix `X` that has samples along the rows with each column being a certain feature of...

aatmunbaxi

Implement `num_traits::identities::{One, Zero}` for `Variable`

14

I need to find a reasonable way to implement the `num_traits::identities::{One, Zero}` traits for the `Variable` type in `RustQuant::autodiff`. The traits are [here](https://docs.rs/num-traits/0.2.15/num_traits/identities/index.html)

avhz

`autodiff`: add support for Jacobian and Hessian matrices.

4

Currently only gradients can be computed via the `RustQuant::autodiff` module. Adding support for full Jacobians and also higher-order derivatives like the Hessian would be nice.

avhz

Types of curves: - [ ] Yield curve. - [x] Zero/spot curve. - [x] Discount curve. - [x] Flat curve. - [x] Forward curve. - [ ] Inflation curve.

avhz

Pricers: American options.

4

avhz