QuantMath
blas
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QuantMath | blas | |
---|---|---|
5 | - | |
347 | 72 | |
- | - | |
0.0 | 0.0 | |
11 months ago | 10 months ago | |
Rust | Rust | |
MIT License | GNU General Public License v3.0 or later |
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QuantMath
- MarcusRainbow/QuantMath
-
QuantMath: Financial maths library for risk-neutral pricing and risk in Rust
Fun, but seems extremely limited. I can't see a way to bootstrap a yield curve for interest rates, which is the first thing i would need to do. The standard model for curves seems to bake in assumptions about day count convention and interpolation:
https://github.com/MarcusRainbow/QuantMath/blob/b51ffacc2cfe...
There is no provision for swaps or futures. Perhaps this is not aimed at rates use cases?
blas
We haven't tracked posts mentioning blas yet.
Tracking mentions began in Dec 2020.
What are some alternatives?
rust-gmp
rust-blas - BLAS bindings for Rust
Emu - The write-once-run-anywhere GPGPU library for Rust
lapack - Wrappers for LAPACK (Fortran)
nalgebra - Linear algebra library for Rust.
rulinalg - A linear algebra library written in Rust
cgmath-rs - A linear algebra and mathematics library for computer graphics.
rust-GSL - A GSL (the GNU Scientific Library) binding for Rust
ncollide - 2 and 3-dimensional collision detection library in Rust.
lbfgsb-sys - Rust binding of fortran Limited memory LBFGS subroutine
nphysics - 2 and 3-dimensional rigid body physics engine for Rust.