rustimization
QuantMath
| rustimization | QuantMath | |
|---|---|---|
| - | 5 | |
| 50 | 347 | |
| - | - | |
| 0.0 | 0.0 | |
| almost 3 years ago | 11 months ago | |
| Rust | Rust | |
| MIT License | MIT License |
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rustimization
We haven't tracked posts mentioning rustimization yet.
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?
nphysics - 2 and 3-dimensional rigid body physics engine for Rust.
rust-gmp
rulinalg - A linear algebra library written in Rust
Emu - The write-once-run-anywhere GPGPU library for Rust
nalgebra - Linear algebra library for Rust.
ncollide - 2 and 3-dimensional collision detection library in Rust.
lapack - Wrappers for LAPACK (Fortran)
rust-GSL - A GSL (the GNU Scientific Library) binding for Rust
cgmath-rs - A linear algebra and mathematics library for computer graphics.
lbfgsb-sys - Rust binding of fortran Limited memory LBFGS subroutine