RustQuant

What it is

An open-source quantitative finance library for Rust covering pricing, stochastic modelling, and supporting analytics. Its modules include instruments such as bonds and options with pricing, stochastic process generators for Brownian motion and short-rate models like CIR, Hull-White, and Vasicek, algorithmic adjoint differentiation, statistical distributions, day counters and calendars, a limit order book, and Yahoo! Finance data download. Quants and developers comfortable with Rust who want programmable building blocks rather than a packaged product are the natural audience. Several areas, such as machine learning and trading tools, are still limited in scope, with instruments like swaps and futures planned rather than implemented.