statrs
QuantMath
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statrs | QuantMath | |
---|---|---|
3 | 5 | |
498 | 347 | |
2.8% | - | |
0.0 | 0.0 | |
6 days ago | 10 months ago | |
Rust | Rust | |
MIT License | MIT License |
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statrs
- Any role that Rust could have in the Data world (Big Data, Data Science, Machine learning, etc.)?
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Whats your favourite open source Rust project that needs more recognition?
statrs for working with probability distributions and statistics.
- StatRS: Statistical Computation Library for Rust
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?
What are some alternatives?
nalgebra - Linear algebra library for Rust.
rust-gmp
rulinalg - A linear algebra library written in Rust
Emu - The write-once-run-anywhere GPGPU library for Rust
Rust-Bio - This library provides implementations of many algorithms and data structures that are useful for bioinformatics. All provided implementations are rigorously tested via continuous integration.
nphysics - 2 and 3-dimensional rigid body physics engine for 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
ncollide - 2 and 3-dimensional collision detection library in Rust.
lbfgsb-sys - Rust binding of fortran Limited memory LBFGS subroutine