finlib

Some quantitative finance functionality written in Rust and consumable from many higher-level languages.

Derivatives Pricing

• Options
  • Black-Scholes
    • Prices
    • Greeks

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