54 lines
1.2 KiB
Markdown
54 lines
1.2 KiB
Markdown
# finlib
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[](https://github.com/Sarsoo/finlib/actions/workflows/build.yml)
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Some quantitative finance functionality written in Rust and consumable from many higher-level languages.
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## Derivatives Pricing
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- Options
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- Black-Scholes
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- Prices
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- Greeks
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## Risk
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- Value-at-Risk
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- Historical
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- Variance-Covariance (Parametric)
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- Single Asset
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- Portfolio
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# FFI
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- C++
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- FFI header files for C++ are generated automatically during build by [cbindgen](https://github.com/mozilla/cbindgen).
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- .NET
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- FFI wrapper code for C# tareting .NET Standard 2.0 is generated automatically using [csbindgen](https://github.com/Cysharp/csbindgen/).
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- Python
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- An adapter library for Python is generated usign [PyO3](https://github.com/PyO3/pyo3)
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- WASM (Js)
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- A Javascript library is generated using [wasm-bindgen](https://github.com/rustwasm/wasm-bindgen)
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## [.NET](./finlib-ffi)
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```bash
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cargo build
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cd FinLib.NET
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dotnet build
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```
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## [Python](./pyfinlib)
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```bash
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cd pyfinlib
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python -m venv .venv
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source .venv/bin/activate
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pip install -r requirements.txt
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maturin develop
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```
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## [WASM](finlib-wasm)
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```bash
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cd finlib-wasm
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wasm-pack build
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``` |