QuantMath: Financial maths library for risk-neutral pricing and risk in Rust

Interesting. I will keep an eye on this. Two comments though: trying to handle corporate actions, instruments, pricing, risk as well as settlement in one library might be a bit too ambitious. Maybe it would be better to focus on just the pricing, or the risk part of things? The other comment, is that I would probably split products from the pricing. I looked at one of the product definitions and it seemed to be intertwined with pricing. Products and pricing can both be complex in an of themselves, and they are not necessarily conceptually coupled. Just my two cents.

Great to see Morgan Stanley allow quants to work on open source projects directly related to their day job. I do not think all banks are as open minded!

Can anyone who is closer to this field suggest what the major options for open source libraries in this area would be? Quantlib? OpenGamma Strata?

Fun, but seems extremely limited. I can't see a way to bootstrap a yield curve for interest rates, which is the first thing i would need to do. The standard model for curves seems to bake in assumptions about day count convention and interpolation:

https://github.com/MarcusRainbow/QuantMath/blob/b51ffacc2cfe...

There is no provision for swaps or futures. Perhaps this is not aimed at rates use cases?

Nice, this is great. I was recently looking for some QuantLib bindings for Rust and its not really there yet.

There's a great book called Implementing QuantLib by Fabio Ballabio that is a really nice introduction to QuantLib for those that are interesting. It is really nice, has lots of term structure data structures built in and some datetime abstractions useful for pricing/risk calcs, and supports lots of financial instruments, like CDS, vanilla/exotic options, bond calculations. Just wonderful.

Note the last commit date

What kind of maths are these libraries based on? Always been curious how math is used in finance to build investment strategies / gauge risk.