QuantMath: Financial maths library for risk-neutral pricing and risk in Rust

• QuantMath

  5 347 0.0 Rust

  Financial maths library for risk-neutral pricing and risk

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

  133 4,265 2.9 Python

  High-performance TensorFlow library for quantitative finance.

  

It’s still under development but some at Google are writing a quant library in Tensorflow. https://github.com/google/tf-quant-finance

• InfluxDB

  www.influxdata.com sponsored

  Power Real-Time Data Analytics at Scale. Get real-time insights from all types of time series data with InfluxDB. Ingest, query, and analyze billions of data points in real-time with unbounded cardinality.

  

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