QuantMath
scirust
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QuantMath | scirust | |
---|---|---|
5 | 1 | |
347 | 262 | |
- | 0.4% | |
0.0 | 0.0 | |
11 months ago | almost 5 years ago | |
Rust | Rust | |
MIT License | Apache License 2.0 |
Stars - the number of stars that a project has on GitHub. Growth - month over month growth in stars.
Activity is a relative number indicating how actively a project is being developed. Recent commits have higher weight than older ones.
For example, an activity of 9.0 indicates that a project is amongst the top 10% of the most actively developed projects that we are tracking.
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?
scirust
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Signal processing library
I found Scirust which seems unmaintained and has "signal processing" as a focus listed, but not much at all implemented, and rust-dsp which has a different focus (and the last commit is from 2014).
What are some alternatives?
rust-gmp
nalgebra - Linear algebra library for Rust.
Emu - The write-once-run-anywhere GPGPU library for Rust
nphysics - 2 and 3-dimensional rigid body physics engine for Rust.
ncollide - 2 and 3-dimensional collision detection library in Rust.
lapack - Wrappers for LAPACK (Fortran)
cgmath-rs - A linear algebra and mathematics library for computer graphics.
rust-GSL - A GSL (the GNU Scientific Library) binding for Rust
fundsp - Library for audio processing and synthesis
lbfgsb-sys - Rust binding of fortran Limited memory LBFGS subroutine
dasp - The fundamentals for Digital Audio Signal Processing. Formerly `sample`.