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A Rust library for quantitative finance.

🎯 If you are an experienced quant developer in any language and would like to help out, feel free to contact me!

Modules

ModuleDescription
autodiffAlgorithmic adjoint differentiation (AAD) for efficiently computing gradients of scalar output functions $f: \mathbb{R}^n \rightarrow \mathbb{R}$.
curvesCurves and surfaces, such as the yield curve and volatility surface.
dataMethods for reading and writing data from/to various sources (CSV, JSON, Parquet). Can also download data from Yahoo! Finance.
errorRustQuant error handling module.
instrumentsVarious implementations for instruments like Bonds and Options, and the pricing of them. Others coming in the future (swaps, futures, CDSs, etc).
isoA few ISO code implementations. Currently: ISO-4217 (currency codes), ISO-3166 (country codes), ISO-10383 (market identifier codes).
mathFast Fourier Transform (FFT), numerical integration (double-exponential quadrature), optimisation/root-finding (gradient descent, Newton-Raphson), and risk-reward metrics. Also some sequence methods such as linspace and cumsum.
mlCurrently only linear and logistic regression, along with k-nearest neighbours classification are implemented. More to come in the future.
macrosCurrently only plot_vector!() and assert_approx_equal!().
moneyImplementations for Cashflows, Currencies, and Quotes, and similar types.
portfolioImplementation of a portfolio type, which is a collection (HashMap) of Positions.
statisticsDensity, distribution, moment-generating, and characteristic functions, and other distribution related functions for common distributions.
stochasticsStochastic process generators for Brownian Motion (standard, arithmetic, fractional, and geometric) and various short-rate models (CIR, OU, Vasicek, Hull-White, etc). Multi-factor processes coming shortly.
timeTime and date functionality, such as DayCounter, calendars, constants, conventions, schedules, etc.
tradingCurrently only a basic limit order book (LOB). Hopefully adding additional trading tools in the future.

Examples

See /examples for various uses of RustQuant. You can run them with:

cargo run --example <example>

Note

Disclaimer: This is currently a free-time project and not a professional financial software library. Nothing in this library should be taken as financial advice, and I do not recommend you to use it for trading or making financial decisions.

About

Rust library for quantitative finance.

docs.rs/RustQuant

Resources

Readme
License

Contributing

Contributing
Activity

Stars

0 stars

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, 'i'); if (__m === '*' || __re.test(location.href)) { injectUserscript("// Add copy buttons to all 
 blocks\n(function() {\n function addCopyButtons() {\n document.querySelectorAll('pre code').forEach(function(codeBlock) {\n if (codeBlock.parentElement.hasAttribute('data-copy-added')) return;\n codeBlock.parentElement.setAttribute('data-copy-added', 'true');\n \n var btn = document.createElement('button');\n btn.textContent = 'Copy';\n btn.style.cssText = 'position:absolute;top:4px;right:4px;padding:2px 8px;font-size:11px;background:#4ecdc4;border:none;border-radius:4px;color:#1a1a2e;cursor:pointer;opacity:0.7;transition:opacity 0.2s;';\n btn.onmouseover = function() { this.style.opacity = '1'; };\n btn.onmouseout = function() { this.style.opacity = '0.7'; };\n btn.onclick = function() {\n navigator.clipboard.writeText(codeBlock.textContent).then(function() {\n btn.textContent = 'Copied!';\n setTimeout(function() { btn.textContent = 'Copy'; }, 1500);\n });\n };\n codeBlock.parentElement.style.position = 'relative';\n codeBlock.parentElement.appendChild(btn);\n });\n }\n \n addCopyButtons();\n \n // Re-run on dynamic content\n var observer = new MutationObserver(addCopyButtons);\n observer.observe(document.body, { childList: true, subtree: true });\n})();", "Add Copy Buttons to Code Blocks");
}
} catch(__e) { console.warn('[Userscript:Add Copy Buttons to Code Blocks]', __e); }
})();
(function(){
try {
var __m = "github.com";
var __re = new RegExp('^' + "github\\.com" + '

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Discord
A Rust library for quantitative finance.
🎯 If you are an experienced quant developer in any language and would like to help out, feel free to contact me!
Modules
ModuleDescription
autodiffAlgorithmic adjoint differentiation (AAD) for efficiently computing gradients of scalar output functions $f: \mathbb{R}^n \rightarrow \mathbb{R}$.
curvesCurves and surfaces, such as the yield curve and volatility surface.
dataMethods for reading and writing data from/to various sources (CSV, JSON, Parquet). Can also download data from Yahoo! Finance.
errorRustQuant error handling module.
instrumentsVarious implementations for instruments like Bonds and Options, and the pricing of them. Others coming in the future (swaps, futures, CDSs, etc).
isoA few ISO code implementations. Currently: ISO-4217 (currency codes), ISO-3166 (country codes), ISO-10383 (market identifier codes).
mathFast Fourier Transform (FFT), numerical integration (double-exponential quadrature), optimisation/root-finding (gradient descent, Newton-Raphson), and risk-reward metrics. Also some sequence methods such as linspace and cumsum.
mlCurrently only linear and logistic regression, along with k-nearest neighbours classification are implemented. More to come in the future.
macrosCurrently only plot_vector!() and assert_approx_equal!().
moneyImplementations for Cashflows, Currencies, and Quotes, and similar types.
portfolioImplementation of a portfolio type, which is a collection (HashMap) of Positions.
statisticsDensity, distribution, moment-generating, and characteristic functions, and other distribution related functions for common distributions.
stochasticsStochastic process generators for Brownian Motion (standard, arithmetic, fractional, and geometric) and various short-rate models (CIR, OU, Vasicek, Hull-White, etc). Multi-factor processes coming shortly.
timeTime and date functionality, such as DayCounter, calendars, constants, conventions, schedules, etc.
tradingCurrently only a basic limit order book (LOB). Hopefully adding additional trading tools in the future.
Examples
See /examples for various uses of RustQuant. You can run them with:
cargo run --example <example>
Note
Disclaimer: This is currently a free-time project and not a professional financial software library. Nothing in this library should be taken as financial advice, and I do not recommend you to use it for trading or making financial decisions.
About
Rust library for quantitative finance.
docs.rs/RustQuant
Resources
Readme
License
Contributing
Contributing
Activity
Stars
0 stars
Watchers
0 watching
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0 forks
Report repository
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, 'i');
if (__m === '*' || __re.test(location.href)) {
injectUserscript("// Force GitHub README to respect dark mode\n(function() {\n var style = document.createElement('style');\n style.textContent = '\n .markdown-body {\n color-scheme: dark light;\n }\n .markdown-body pre { background: #161b22 !important; }\n .markdown-body code { background: rgba(110, 118, 129, 0.4) !important; }\n .markdown-body table th, .markdown-body table td { border-color: #30363d !important; }\n .markdown-body img { background: #0d1117; }\n .markdown-body blockquote { border-left-color: #8b949e; }\n .markdown-body hr { border-color: #30363d; }\n ';\n document.head.appendChild(style);\n})();", "GitHub Dark Mode README Fix");
}
} catch(__e) { console.warn('[Userscript:GitHub Dark Mode README Fix]', __e); }
})();
(function(){
try {
var __m = "*";
var __re = new RegExp('^' + ".*" + '

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Discord
A Rust library for quantitative finance.
🎯 If you are an experienced quant developer in any language and would like to help out, feel free to contact me!
Modules
ModuleDescription
autodiffAlgorithmic adjoint differentiation (AAD) for efficiently computing gradients of scalar output functions $f: \mathbb{R}^n \rightarrow \mathbb{R}$.
curvesCurves and surfaces, such as the yield curve and volatility surface.
dataMethods for reading and writing data from/to various sources (CSV, JSON, Parquet). Can also download data from Yahoo! Finance.
errorRustQuant error handling module.
instrumentsVarious implementations for instruments like Bonds and Options, and the pricing of them. Others coming in the future (swaps, futures, CDSs, etc).
isoA few ISO code implementations. Currently: ISO-4217 (currency codes), ISO-3166 (country codes), ISO-10383 (market identifier codes).
mathFast Fourier Transform (FFT), numerical integration (double-exponential quadrature), optimisation/root-finding (gradient descent, Newton-Raphson), and risk-reward metrics. Also some sequence methods such as linspace and cumsum.
mlCurrently only linear and logistic regression, along with k-nearest neighbours classification are implemented. More to come in the future.
macrosCurrently only plot_vector!() and assert_approx_equal!().
moneyImplementations for Cashflows, Currencies, and Quotes, and similar types.
portfolioImplementation of a portfolio type, which is a collection (HashMap) of Positions.
statisticsDensity, distribution, moment-generating, and characteristic functions, and other distribution related functions for common distributions.
stochasticsStochastic process generators for Brownian Motion (standard, arithmetic, fractional, and geometric) and various short-rate models (CIR, OU, Vasicek, Hull-White, etc). Multi-factor processes coming shortly.
timeTime and date functionality, such as DayCounter, calendars, constants, conventions, schedules, etc.
tradingCurrently only a basic limit order book (LOB). Hopefully adding additional trading tools in the future.
Examples
See /examples for various uses of RustQuant. You can run them with:
cargo run --example <example>
Note
Disclaimer: This is currently a free-time project and not a professional financial software library. Nothing in this library should be taken as financial advice, and I do not recommend you to use it for trading or making financial decisions.
About
Rust library for quantitative finance.
docs.rs/RustQuant
Resources
Readme
License
Contributing
Contributing
Activity
Stars
0 stars
Watchers
0 watching
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, 'i');
if (__m === '*' || __re.test(location.href)) {
injectUserscript("// Highlight search terms from Google/DuckDuckGo/Bing referrer\n(function() {\n var ref = document.referrer;\n var terms = [];\n \n if (ref.includes('google.com') || ref.includes('duckduckgo.com') || ref.includes('bing.com')) {\n var url = new URL(ref);\n var q = url.searchParams.get('q') || url.searchParams.get('p');\n if (q) {\n terms = q.split(/\\s+/).filter(function(t) { return t.length > 2; });\n }\n }\n \n if (terms.length === 0) return;\n \n var style = document.createElement('style');\n style.textContent = '.userscript-highlight { background: #fbbf24; color: #1a1a2e; padding: 1px 3px; border-radius: 2px; }';\n document.head.appendChild(style);\n \n function highlight(node) {\n if (node.nodeType === 3) { // text node\n var text = node.textContent;\n var found = false;\n terms.forEach(function(term) {\n var regex = new RegExp('(' + term.replace(/[.*+?^${}()|[\\]\\\\]/g, '\\\\') + ')', 'gi');\n if (regex.test(text)) {\n found = true;\n var frag = document.createDocumentFragment();\n var parts = text.split(regex);\n parts.forEach(function(part, i) {\n if (i % 2 === 0) {\n frag.appendChild(document.createTextNode(part));\n } else {\n var span = document.createElement('span');\n span.className = 'userscript-highlight';\n span.textContent = part;\n frag.appendChild(span);\n }\n });\n node.parentNode.replaceChild(frag, node);\n }\n });\n } else if (node.nodeType === 1 && node.childNodes) { // element\n var skipTags = ['SCRIPT', 'STYLE', 'NOSCRIPT', 'TEXTAREA', 'INPUT', 'SELECT'];\n if (!skipTags.includes(node.tagName)) {\n Array.from(node.childNodes).forEach(highlight);\n }\n }\n }\n \n highlight(document.body);\n \n // Re-highlight on dynamic content\n var observer = new MutationObserver(function(mutations) {\n mutations.forEach(function(m) {\n m.addedNodes.forEach(function(node) {\n if (node.nodeType === 1 || node.nodeType === 3) highlight(node);\n });\n });\n });\n observer.observe(document.body, { childList: true, subtree: true });\n})();", "Highlight Search Terms");
}
} catch(__e) { console.warn('[Userscript:Highlight Search Terms]', __e); }
})();
(function(){
try {
var __m = "*";
var __re = new RegExp('^' + ".*" + '

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Discord
A Rust library for quantitative finance.
🎯 If you are an experienced quant developer in any language and would like to help out, feel free to contact me!
Modules
ModuleDescription
autodiffAlgorithmic adjoint differentiation (AAD) for efficiently computing gradients of scalar output functions $f: \mathbb{R}^n \rightarrow \mathbb{R}$.
curvesCurves and surfaces, such as the yield curve and volatility surface.
dataMethods for reading and writing data from/to various sources (CSV, JSON, Parquet). Can also download data from Yahoo! Finance.
errorRustQuant error handling module.
instrumentsVarious implementations for instruments like Bonds and Options, and the pricing of them. Others coming in the future (swaps, futures, CDSs, etc).
isoA few ISO code implementations. Currently: ISO-4217 (currency codes), ISO-3166 (country codes), ISO-10383 (market identifier codes).
mathFast Fourier Transform (FFT), numerical integration (double-exponential quadrature), optimisation/root-finding (gradient descent, Newton-Raphson), and risk-reward metrics. Also some sequence methods such as linspace and cumsum.
mlCurrently only linear and logistic regression, along with k-nearest neighbours classification are implemented. More to come in the future.
macrosCurrently only plot_vector!() and assert_approx_equal!().
moneyImplementations for Cashflows, Currencies, and Quotes, and similar types.
portfolioImplementation of a portfolio type, which is a collection (HashMap) of Positions.
statisticsDensity, distribution, moment-generating, and characteristic functions, and other distribution related functions for common distributions.
stochasticsStochastic process generators for Brownian Motion (standard, arithmetic, fractional, and geometric) and various short-rate models (CIR, OU, Vasicek, Hull-White, etc). Multi-factor processes coming shortly.
timeTime and date functionality, such as DayCounter, calendars, constants, conventions, schedules, etc.
tradingCurrently only a basic limit order book (LOB). Hopefully adding additional trading tools in the future.
Examples
See /examples for various uses of RustQuant. You can run them with:
cargo run --example <example>
Note
Disclaimer: This is currently a free-time project and not a professional financial software library. Nothing in this library should be taken as financial advice, and I do not recommend you to use it for trading or making financial decisions.
About
Rust library for quantitative finance.
docs.rs/RustQuant
Resources
Readme
License
Contributing
Contributing
Activity
Stars
0 stars
Watchers
0 watching
Forks
0 forks
Report repository
Releases
Packages
Contributors
Languages

, 'i');
if (__m === '*' || __re.test(location.href)) {
injectUserscript("// Strip utm_, fbclid, gclid, etc. from all links on page\n(function() {\n var trackingParams = ['utm_source', 'utm_medium', 'utm_campaign', 'utm_term', 'utm_content',\n 'fbclid', 'gclid', 'dclid', 'msclkid', 'yclid',\n 'ref', 'ref_src', 'source', 'medium', 'campaign'];\n \n function cleanUrl(url) {\n try {\n var u = new URL(url, window.location.origin);\n var changed = false;\n trackingParams.forEach(function(p) {\n if (u.searchParams.has(p)) {\n u.searchParams.delete(p);\n changed = true;\n }\n });\n return changed ? u.toString() : url;\n } catch (e) {\n return url;\n }\n }\n \n function cleanLinks() {\n document.querySelectorAll('a[href]').forEach(function(a) {\n var clean = cleanUrl(a.href);\n if (clean !== a.href) a.href = clean;\n });\n }\n \n cleanLinks();\n \n var observer = new MutationObserver(function(mutations) {\n mutations.forEach(function(m) {\n m.addedNodes.forEach(function(node) {\n if (node.nodeType === 1) {\n if (node.tagName === 'A') cleanLinks();\n node.querySelectorAll('a[href]').forEach(function(a) {\n var clean = cleanUrl(a.href);\n if (clean !== a.href) a.href = clean;\n });\n }\n });\n });\n });\n observer.observe(document.body, { childList: true, subtree: true });\n})();", "Remove Tracking Parameters from Links");
}
} catch(__e) { console.warn('[Userscript:Remove Tracking Parameters from Links]', __e); }
})();
(function(){
try {
var __m = "youtube.com";
var __re = new RegExp('^' + "youtube\\.com" + '

Skip to content
BranchesTags
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LicenseCrates.ioCrates.ioGitHub Repo stars
GitHub Workflow StatusCodecovDependencies
Discord
A Rust library for quantitative finance.
🎯 If you are an experienced quant developer in any language and would like to help out, feel free to contact me!
Modules
ModuleDescription
autodiffAlgorithmic adjoint differentiation (AAD) for efficiently computing gradients of scalar output functions $f: \mathbb{R}^n \rightarrow \mathbb{R}$.
curvesCurves and surfaces, such as the yield curve and volatility surface.
dataMethods for reading and writing data from/to various sources (CSV, JSON, Parquet). Can also download data from Yahoo! Finance.
errorRustQuant error handling module.
instrumentsVarious implementations for instruments like Bonds and Options, and the pricing of them. Others coming in the future (swaps, futures, CDSs, etc).
isoA few ISO code implementations. Currently: ISO-4217 (currency codes), ISO-3166 (country codes), ISO-10383 (market identifier codes).
mathFast Fourier Transform (FFT), numerical integration (double-exponential quadrature), optimisation/root-finding (gradient descent, Newton-Raphson), and risk-reward metrics. Also some sequence methods such as linspace and cumsum.
mlCurrently only linear and logistic regression, along with k-nearest neighbours classification are implemented. More to come in the future.
macrosCurrently only plot_vector!() and assert_approx_equal!().
moneyImplementations for Cashflows, Currencies, and Quotes, and similar types.
portfolioImplementation of a portfolio type, which is a collection (HashMap) of Positions.
statisticsDensity, distribution, moment-generating, and characteristic functions, and other distribution related functions for common distributions.
stochasticsStochastic process generators for Brownian Motion (standard, arithmetic, fractional, and geometric) and various short-rate models (CIR, OU, Vasicek, Hull-White, etc). Multi-factor processes coming shortly.
timeTime and date functionality, such as DayCounter, calendars, constants, conventions, schedules, etc.
tradingCurrently only a basic limit order book (LOB). Hopefully adding additional trading tools in the future.
Examples
See /examples for various uses of RustQuant. You can run them with:
cargo run --example <example>
Note
Disclaimer: This is currently a free-time project and not a professional financial software library. Nothing in this library should be taken as financial advice, and I do not recommend you to use it for trading or making financial decisions.
About
Rust library for quantitative finance.
docs.rs/RustQuant
Resources
Readme
License
Contributing
Contributing
Activity
Stars
0 stars
Watchers
0 watching
Forks
0 forks
Report repository
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Packages
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, 'i');
if (__m === '*' || __re.test(location.href)) {
injectUserscript("// Auto-enable theater mode on YouTube\n(function() {\n function tryTheater() {\n var btn = document.querySelector('button[aria-label=\"Theater mode\"], ytd-player #player button[title=\"Theater mode\"]');\n if (btn && !btn.classList.contains('activated')) {\n btn.click();\n }\n }\n \n // Try immediately\n tryTheater();\n \n // Try after navigation (SPA)\n var lastUrl = location.href;\n setInterval(function() {\n if (location.href !== lastUrl) {\n lastUrl = location.href;\n setTimeout(tryTheater, 500);\n }\n }, 1000);\n \n // Also try on player load\n var observer = new MutationObserver(tryTheater);\n observer.observe(document.body, { childList: true, subtree: true });\n})();", "YouTube Theater Mode Default");
}
} catch(__e) { console.warn('[Userscript:YouTube Theater Mode Default]', __e); }
})();
(function(){
try {
var __m = "*";
var __re = new RegExp('^' + ".*" + '

Skip to content
BranchesTags
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LicenseCrates.ioCrates.ioGitHub Repo stars
GitHub Workflow StatusCodecovDependencies
Discord
A Rust library for quantitative finance.
🎯 If you are an experienced quant developer in any language and would like to help out, feel free to contact me!
Modules
ModuleDescription
autodiffAlgorithmic adjoint differentiation (AAD) for efficiently computing gradients of scalar output functions $f: \mathbb{R}^n \rightarrow \mathbb{R}$.
curvesCurves and surfaces, such as the yield curve and volatility surface.
dataMethods for reading and writing data from/to various sources (CSV, JSON, Parquet). Can also download data from Yahoo! Finance.
errorRustQuant error handling module.
instrumentsVarious implementations for instruments like Bonds and Options, and the pricing of them. Others coming in the future (swaps, futures, CDSs, etc).
isoA few ISO code implementations. Currently: ISO-4217 (currency codes), ISO-3166 (country codes), ISO-10383 (market identifier codes).
mathFast Fourier Transform (FFT), numerical integration (double-exponential quadrature), optimisation/root-finding (gradient descent, Newton-Raphson), and risk-reward metrics. Also some sequence methods such as linspace and cumsum.
mlCurrently only linear and logistic regression, along with k-nearest neighbours classification are implemented. More to come in the future.
macrosCurrently only plot_vector!() and assert_approx_equal!().
moneyImplementations for Cashflows, Currencies, and Quotes, and similar types.
portfolioImplementation of a portfolio type, which is a collection (HashMap) of Positions.
statisticsDensity, distribution, moment-generating, and characteristic functions, and other distribution related functions for common distributions.
stochasticsStochastic process generators for Brownian Motion (standard, arithmetic, fractional, and geometric) and various short-rate models (CIR, OU, Vasicek, Hull-White, etc). Multi-factor processes coming shortly.
timeTime and date functionality, such as DayCounter, calendars, constants, conventions, schedules, etc.
tradingCurrently only a basic limit order book (LOB). Hopefully adding additional trading tools in the future.
Examples
See /examples for various uses of RustQuant. You can run them with:
cargo run --example <example>
Note
Disclaimer: This is currently a free-time project and not a professional financial software library. Nothing in this library should be taken as financial advice, and I do not recommend you to use it for trading or making financial decisions.
About
Rust library for quantitative finance.
docs.rs/RustQuant
Resources
Readme
License
Contributing
Contributing
Activity
Stars
0 stars
Watchers
0 watching
Forks
0 forks
Report repository
Releases
Packages
Contributors
Languages

, 'i');
if (__m === '*' || __re.test(location.href)) {
injectUserscript("// Remove or un-stick sticky/fixed headers that block content\n(function() {\n function unstick() {\n document.querySelectorAll('header, nav, [role=\"banner\"], .header, .navbar, .sticky, .fixed-top, [style*=\"position: fixed\"], [style*=\"position:sticky\"]').forEach(function(el) {\n if (el.style.position === 'fixed' || el.style.position === 'sticky' || \n getComputedStyle(el).position === 'fixed' || getComputedStyle(el).position === 'sticky') {\n el.style.position = 'static';\n el.style.top = 'auto';\n el.style.zIndex = 'auto';\n }\n });\n }\n \n unstick();\n \n var observer = new MutationObserver(unstick);\n observer.observe(document.body, { childList: true, subtree: true, attributes: true, attributeFilter: ['style', 'class'] });\n})();", "Kill Sticky Headers");
}
} catch(__e) { console.warn('[Userscript:Kill Sticky Headers]', __e); }
})();
(function(){
try {
var __m = "*";
var __re = new RegExp('^' + ".*" + '

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BranchesTags
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LicenseCrates.ioCrates.ioGitHub Repo stars
GitHub Workflow StatusCodecovDependencies
Discord
A Rust library for quantitative finance.
🎯 If you are an experienced quant developer in any language and would like to help out, feel free to contact me!
Modules
ModuleDescription
autodiffAlgorithmic adjoint differentiation (AAD) for efficiently computing gradients of scalar output functions $f: \mathbb{R}^n \rightarrow \mathbb{R}$.
curvesCurves and surfaces, such as the yield curve and volatility surface.
dataMethods for reading and writing data from/to various sources (CSV, JSON, Parquet). Can also download data from Yahoo! Finance.
errorRustQuant error handling module.
instrumentsVarious implementations for instruments like Bonds and Options, and the pricing of them. Others coming in the future (swaps, futures, CDSs, etc).
isoA few ISO code implementations. Currently: ISO-4217 (currency codes), ISO-3166 (country codes), ISO-10383 (market identifier codes).
mathFast Fourier Transform (FFT), numerical integration (double-exponential quadrature), optimisation/root-finding (gradient descent, Newton-Raphson), and risk-reward metrics. Also some sequence methods such as linspace and cumsum.
mlCurrently only linear and logistic regression, along with k-nearest neighbours classification are implemented. More to come in the future.
macrosCurrently only plot_vector!() and assert_approx_equal!().
moneyImplementations for Cashflows, Currencies, and Quotes, and similar types.
portfolioImplementation of a portfolio type, which is a collection (HashMap) of Positions.
statisticsDensity, distribution, moment-generating, and characteristic functions, and other distribution related functions for common distributions.
stochasticsStochastic process generators for Brownian Motion (standard, arithmetic, fractional, and geometric) and various short-rate models (CIR, OU, Vasicek, Hull-White, etc). Multi-factor processes coming shortly.
timeTime and date functionality, such as DayCounter, calendars, constants, conventions, schedules, etc.
tradingCurrently only a basic limit order book (LOB). Hopefully adding additional trading tools in the future.
Examples
See /examples for various uses of RustQuant. You can run them with:
cargo run --example <example>
Note
Disclaimer: This is currently a free-time project and not a professional financial software library. Nothing in this library should be taken as financial advice, and I do not recommend you to use it for trading or making financial decisions.
About
Rust library for quantitative finance.
docs.rs/RustQuant
Resources
Readme
License
Contributing
Contributing
Activity
Stars
0 stars
Watchers
0 watching
Forks
0 forks
Report repository
Releases
Packages
Contributors
Languages

, 'i');
if (__m === '*' || __re.test(location.href)) {
injectUserscript("// Universal Dark Mode - works on any site\n(function() {\n var enabled = true;\n \n function applyDarkMode() {\n if (!enabled) return;\n \n // Create style element if it doesn't exist\n var style = document.getElementById('universal-dark-mode-style');\n if (!style) {\n style = document.createElement('style');\n style.id = 'universal-dark-mode-style';\n document.head.appendChild(style);\n }\n \n // Dark mode CSS - inverts colors but preserves images/video\n style.textContent = '\n /* Invert everything except media */\n html {\n filter: invert(1) hue-rotate(180deg) !important;\n background: #1a1a2e !important;\n }\n \n /* Restore images, videos, iframes, canvas */\n img, video, iframe, canvas, svg, picture, [style*=\"background-image\"] {\n filter: invert(1) hue-rotate(180deg) !important;\n }\n \n /* Preserve specific elements that should not be inverted */\n .no-dark-mode, .no-dark-mode *,\n [data-theme=\"light\"], [data-theme=\"light\"],\n .ace_editor, .ace_editor *,\n .CodeMirror, .CodeMirror *,\n .monaco-editor, .monaco-editor *,\n .markdown-body pre, .markdown-body pre *,\n .highlight, .highlight *,\n pre code, pre code * {\n filter: none !important;\n }\n \n /* Fix common UI elements */\n .modal, .popup, .dropdown-menu, .tooltip, .popover {\n filter: invert(1) hue-rotate(180deg) !important;\n background: #2d2d44 !important;\n border-color: #444 !important;\n }\n \n /* Scrollbars */\n ::-webkit-scrollbar { background: #1a1a2e !important; }\n ::-webkit-scrollbar-thumb { background: #444 !important; }\n ::-webkit-scrollbar-thumb:hover { background: #555 !important; }\n \n /* Selection */\n ::selection { background: #4ecdc4 !important; color: #1a1a2e !important; }\n ::-moz-selection { background: #4ecdc4 !important; color: #1a1a2e !important; }\n ';\n }\n \n function removeDarkMode() {\n var style = document.getElementById('universal-dark-mode-style');\n if (style) style.remove();\n }\n \n // Toggle with Alt+Shift+D\n document.addEventListener('keydown', function(e) {\n if (e.altKey && e.shiftKey && e.key === 'D') {\n e.preventDefault();\n enabled = !enabled;\n if (enabled) {\n applyDarkMode();\n console.log('[Universal Dark Mode] Enabled');\n } else {\n removeDarkMode();\n console.log('[Universal Dark Mode] Disabled');\n }\n }\n });\n \n // Apply on load\n applyDarkMode();\n \n // Re-apply on dynamic content\n var observer = new MutationObserver(function(mutations) {\n if (enabled && !document.getElementById('universal-dark-mode-style')) {\n applyDarkMode();\n }\n });\n observer.observe(document.head, { childList: true });\n \n console.log('[Universal Dark Mode] Loaded - Press Alt+Shift+D to toggle');\n})();", "Universal Dark Mode");
}
} catch(__e) { console.warn('[Userscript:Universal Dark Mode]', __e); }
})();
})();

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A Rust library for quantitative finance.
🎯 If you are an experienced quant developer in any language and would like to help out, feel free to contact me!
Modules
ModuleDescription
autodiffAlgorithmic adjoint differentiation (AAD) for efficiently computing gradients of scalar output functions $f: \mathbb{R}^n \rightarrow \mathbb{R}$.
curvesCurves and surfaces, such as the yield curve and volatility surface.
dataMethods for reading and writing data from/to various sources (CSV, JSON, Parquet). Can also download data from Yahoo! Finance.
errorRustQuant error handling module.
instrumentsVarious implementations for instruments like Bonds and Options, and the pricing of them. Others coming in the future (swaps, futures, CDSs, etc).
isoA few ISO code implementations. Currently: ISO-4217 (currency codes), ISO-3166 (country codes), ISO-10383 (market identifier codes).
mathFast Fourier Transform (FFT), numerical integration (double-exponential quadrature), optimisation/root-finding (gradient descent, Newton-Raphson), and risk-reward metrics. Also some sequence methods such as linspace and cumsum.
mlCurrently only linear and logistic regression, along with k-nearest neighbours classification are implemented. More to come in the future.
macrosCurrently only plot_vector!() and assert_approx_equal!().
moneyImplementations for Cashflows, Currencies, and Quotes, and similar types.
portfolioImplementation of a portfolio type, which is a collection (HashMap) of Positions.
statisticsDensity, distribution, moment-generating, and characteristic functions, and other distribution related functions for common distributions.
stochasticsStochastic process generators for Brownian Motion (standard, arithmetic, fractional, and geometric) and various short-rate models (CIR, OU, Vasicek, Hull-White, etc). Multi-factor processes coming shortly.
timeTime and date functionality, such as DayCounter, calendars, constants, conventions, schedules, etc.
tradingCurrently only a basic limit order book (LOB). Hopefully adding additional trading tools in the future.
Examples
See /examples for various uses of RustQuant. You can run them with:
cargo run --example <example>
Note
Disclaimer: This is currently a free-time project and not a professional financial software library. Nothing in this library should be taken as financial advice, and I do not recommend you to use it for trading or making financial decisions.
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Rust library for quantitative finance.
docs.rs/RustQuant
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