tf-quant-finance
QuantMath
tf-quant-finance | QuantMath | |
---|---|---|
133 | 5 | |
4,283 | 347 | |
1.1% | - | |
2.9 | 0.0 | |
about 2 months ago | 11 months ago | |
Python | Rust | |
Apache License 2.0 | MIT License |
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tf-quant-finance
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?
ta-lib-python - Python wrapper for TA-Lib (http://ta-lib.org/).
rust-gmp
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.
Emu - The write-once-run-anywhere GPGPU library for Rust
pyhpc-benchmarks - A suite of benchmarks for CPU and GPU performance of the most popular high-performance libraries for Python :rocket:
nalgebra - Linear algebra library for Rust.
gpustat - ๐ A simple command-line utility for querying and monitoring GPU status
lapack - Wrappers for LAPACK (Fortran)
pybobyqa - Python-based Derivative-Free Optimization with Bound Constraints
rust-GSL - A GSL (the GNU Scientific Library) binding for Rust
quantclean - ๐งน Quantclean is a program that reformats financial dataset to US Equity TradeBar (Quantconnect format)
lbfgsb-sys - Rust binding of fortran Limited memory LBFGS subroutine