QuantMath
nalgebra
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| QuantMath | nalgebra | |
|---|---|---|
| 5 | 20 | |
| 347 | 3,732 | |
| - | 2.6% | |
| 0.0 | 7.8 | |
| 11 months ago | 4 days ago | |
| Rust | Rust | |
| MIT License | Apache License 2.0 |
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QuantMath
- MarcusRainbow/QuantMath
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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?
nalgebra
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Xkcd 2916: Machine
Ok, so this uses https://rapier.rs/ which is very cool
Rapier, alongside https://nalgebra.org/ (which it uses underneath) has seriously good documentation and some advanced features like cross-platform determinism (something made hard by the way floating point differs between platforms)
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Geometric Algebra to Geometric Computing Software Developers
> Some GA libraries[1][2] define types for the different kind of objects (grades)
That's nice!
This reminds of me things like, linear algebra libraries that will type-check matrices so that a 2x2 matrix can't be added to a 2x3 matrix (but then you can have a dynamic matrix that will error only in runtime), like https://nalgebra.org/ and others.
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Has anyone worked on a math library before?
Maybe start by looking at https://nalgebra.org/ to see what rust math libraries might look like
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faer 0.8.0 release
And Nalgebra, while better, also seems to have slowed down on commits and responses to issues and PRs. I have a PR there for a relatively simple wrapper type for row vectors which was explicitly requested by a maintainer, which hasn't even gotten a comment since for two weeks.
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A Rust client library for interacting with Microsoft Airsim https://github.com/Sollimann/airsim-client
nalgebra (similar to Eigen in cpp)
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What crates are considered as de-facto standard?
nalgebra
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Science-related crates that I should have a look at?
nalgebra is for linear algebra.
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Hey Rustaceans! Got a question? Ask here! (31/2022)!
Take a look into math libraries, like glam, nalgebra, and cgmath. I've only used these through game engines, though, so I can't offer per-basis reviews/advice.
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C++ is making me depressed / CUDA question
If you do not need GPU then I would recommend looking into Eigen in C++, nalgebra in Rust (with a BLAS in both cases for improved performance) or one of the above options (Julia / Python+JAX).
- Lightning talk: Stop writing Rust
What are some alternatives?
rust-gmp
cgmath-rs - A linear algebra and mathematics library for computer graphics.
Emu - The write-once-run-anywhere GPGPU library for Rust
rust-ndarray - ndarray: an N-dimensional array with array views, multidimensional slicing, and efficient operations
lapack - Wrappers for LAPACK (Fortran)
glam-rs - A simple and fast linear algebra library for games and graphics
rust-GSL - A GSL (the GNU Scientific Library) binding for Rust
rust-blas - BLAS bindings for Rust
lbfgsb-sys - Rust binding of fortran Limited memory LBFGS subroutine
rulinalg - A linear algebra library written in Rust
scirust - Scientific Computing Library in Rust