collenchyma
QuantMath
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| collenchyma | QuantMath | |
|---|---|---|
| - | 5 | |
| 474 | 347 | |
| 0.0% | - | |
| 0.0 | 0.0 | |
| about 8 years ago | 11 months ago | |
| Rust | Rust | |
| Apache License 2.0 | MIT License |
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collenchyma
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Tracking mentions began in Dec 2020.
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?
What are some alternatives?
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