FinQuant

Open-source (experimental) rust library for quantitative financial market modelling.

Warning

FinQuant is an experimental project, currently incomplete and not fit for production.

Roadmap (no set agenda yet)

Basic settings
- Calendar
- Day counts
- Schedule generator
Markets / Quotes
- Forex - forward points
- Forex - volatility
- Interest Rate - curves (cash rates, futures, swaps)
- Interest Rate - volatility
Forex markets
- Pricer - we want more than just Black Scholes model. For example volatility should not be the key input; the surface should.
  - Forward
    - forward points generator
    - discount + other pricing
  - Option
- Simulator
Interest rate markets
- Pricer
  - Swap
  - Cap/Floor
- Simulator