Quant finance functions implemented in Rust
Project description
finlib
Some quantitative finance functionality written in Rust and consumable from many higher-level languages.
Derivatives Pricing
- Options
- Black-Scholes
- Prices
- Greeks
- Black-Scholes
Risk
- Value-at-Risk
- Historical
- Variance-Covariance (Parametric)
- Single Asset
- Portfolio
FFI
- C++
- FFI header files for C++ are generated automatically during build by cbindgen.
- .NET
- FFI wrapper code for C# tareting .NET Standard 2.0 is generated automatically using csbindgen.
- Python
- An adapter library for Python is generated usign PyO3
- WASM (Js)
- A Javascript library is generated using wasm-bindgen
.NET
cargo build
cd FinLib.NET
dotnet build
Python
cd pyfinlib
python -m venv .venv
source .venv/bin/activate
pip install -r requirements.txt
maturin develop
WASM
cd finlib-wasm
wasm-pack build
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