RustQuant
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avhz
Rust library for quantitative finance.
# Natural Cubic Spline Interpolation This Pull Request implements the cubic spline interpolation as one of the polynomial interpolators mentioned in issue https://github.com/avhz/RustQuant/issues/5. The implementation was benchmarked against SciPy’s `CubicSpline`....
# Lagrange Polynomial Interpolation This pull request implements the Lagrange interpolator as one of the polynomial interpolators in issue https://github.com/avhz/RustQuant/issues/5. The results have been benchmarked against SciPy's `lagrange` function. ##...
Generally pricing requires context data, such as an evaluation date, some conventions like day counting, etc. A challenge is deciding whether to use a global config, like QuantLib has done...
Instead of having a calendar trait and associated structs, I think a single struct would be more simple. ```rust enum Market { // Market Identifier Codes (MIC) XNYS, XNAS, XASX,...
