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finlib (0.0.6)

Published 2025-02-18 18:47:43 +00:00 by sarsoo in sarsoo/finlib

Installation

Setup this registry in the Cargo configuration file (for example ~/.cargo/config.toml):

[registry]
default = "gitea"

[registries.gitea]
index = "sparse+https://git.sarsoo.xyz/api/packages/sarsoo/cargo/" # Sparse index
# index = "https://git.sarsoo.xyz/sarsoo/_cargo-index.git" # Git

[net]
git-fetch-with-cli = true

To install the package using Cargo, run the following command:

cargo add finlib@0.0.6

For more information on the Cargo registry, see the documentation.

About this package

Quant finance functions implemented in Rust

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

Dependencies

ID	Version
getrandom	~0
log	^0.4.25
nalgebra	^0.33.2
ndarray	^0.16.1
ndarray-stats	^0.6.0
pyo3	^0.23.4
rand	^0.8.5
rayon	^1.10.0
statrs	^0.18.0
wasm-bindgen	^0.2.100
criterion	^0.5.1

Details

Cargo

sarsoo/finlib

2025-02-18 18:47:43 +00:00

5

sarsoo <andy@sarsoo.xyz>

Project Site

Repository Site

Documentation Site

MIT

17 KiB

Assets (1)

finlib-0.0.6.crate 17 KiB

Versions (6) View all

0.0.6 2025-02-18

0.0.5 2025-02-17

0.0.4 2025-02-17

0.0.3 2025-02-17

0.0.2 2025-02-15

Issues