{"repo":"siddharthqs/RustyQLib","free":true,"listed":false,"github":"https://github.com/siddharthqs/RustyQLib","clone":"git clone https://github.com/siddharthqs/RustyQLib.git","description":"RustyQlib: A quant library for derivative pricing and quantitative finance","language":"Rust","stars":23,"topics":["options-pricing","rust","rust-lang","derivatives","quant-finance","quantitative-trading","commodities","equity","risk-management","trading"],"license":"MIT","category":"trading","readme_excerpt":"RustyQLib — Pricing Options using JSON or XML RustyQLib is a lightweight quantitative finance library written entirely in Rust. It prices equity derivatives through JSON or XML contracts (a stateless pricing service in a single binary) or as a Rust library, with an emphasis on numerically validated implementations: every pricer is cross-checked against independent oracles, put-call parity, replication identities and cross-engine agreement in the test suite. Highlights - Six pricing engines — analytic closed forms, two analytic American approximations (Barone-Adesi-Whaley and Bjerksund-Stensland 2002), binomial tree, finite difference (log-spot Crank-Nicolson with Rannacher smoothing), and parallel Monte Carlo — behind one dispatch, so the same contract prices on any suitable engine. - Six volatility frameworks — Black-Scholes, Dupire local volatility (calibrated non-parametrically from an implied vol surface), Heston stochastic volatility (semi-analytic characteristic-function pricing + Monte Carlo) with Bates jump-diffusion extensions (Heston + lognormal Merton jumps, and Heston + Kou double-exponential jumps, both priced semi-analytically through the shared characteristic-function machinery and calibrated by the same Levenberg-Marquardt transform-space pattern), rough Bergomi (Bayer-Friz-Gatheral rough volatility: non-Markovian Volterra variance simulated by the exact joint-Gaussian scheme on moderate grids and the FFT-accelerated Bennedsen-Lunde-Pakkanen hybrid scheme on f","default_branch":null,"files":null,"tree":[],"storefront":"/r/siddharthqs","claimed":false,"request_supported":{"post":"https://gitbuyer.com/r/siddharthqs/RustyQLib/request-supported","requests":0},"note":"indexed from public GitHub; nothing is for sale on this page. Clone it from GitHub. Paid listings live at /search."}