QuantMath
tf-quant-finance
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| QuantMath | tf-quant-finance | |
|---|---|---|
| 5 | 133 | |
| 347 | 4,265 | |
| - | 1.4% | |
| 0.0 | 2.9 | |
| 11 months ago | about 2 months ago | |
| Rust | Python | |
| MIT License | Apache License 2.0 |
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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?
tf-quant-finance
What are some alternatives?
rust-gmp
ta-lib-python - Python wrapper for TA-Lib (http://ta-lib.org/).
Emu - The write-once-run-anywhere GPGPU library for Rust
mlfinlab - MlFinLab helps portfolio managers and traders who want to leverage the power of machine learning by providing reproducible, interpretable, and easy to use tools.
nalgebra - Linear algebra library for Rust.
pyhpc-benchmarks - A suite of benchmarks for CPU and GPU performance of the most popular high-performance libraries for Python :rocket:
lapack - Wrappers for LAPACK (Fortran)
gpustat - 📊 A simple command-line utility for querying and monitoring GPU status
rust-GSL - A GSL (the GNU Scientific Library) binding for Rust
pybobyqa - Python-based Derivative-Free Optimization with Bound Constraints
lbfgsb-sys - Rust binding of fortran Limited memory LBFGS subroutine
quantclean - 🧹 Quantclean is a program that reformats financial dataset to US Equity TradeBar (Quantconnect format)