math_finance

Mathematical finance in Rust

Models

Option pricing

- Analytic
- Monte Carlo
    - GBM
    [*] local volatility
    [*] stochastic local volatility

Risk and Portfolio theory

- risk figures
[*] Markovitz portofolio optimization
[*] Black Litterman
[*] Deep Hedging

Stats and Timeseries analysis

[*] planned.

Contributions

Any contribution and help is highly welcome! Work needs to be done in general and in particular

• further model implementations
• code and design improvements
• unit testing: correctness, regression, performance
• documentation, references, example implementations (and many more areas)

flamegraph and benchmarking

Run flamegraph for detecting hot paths. Running unit tests via this workaround

For example:

cargo b --tests --release
flamegraph target/release/deps/pricing-8329770a5e5551d4 -- test-name(e.g. no_drift_stock_price_simulation) [--output ./flamegraph/flamegraph.svg]

Find the flamegraph.svg and 'perf.data' at the project's root / flamegraph folder.

For benchmarking with criterion, run

cargo bench