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MarcusRainbow
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QuantMath
Financial maths library for risk-neutral pricing and risk
MIT License
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Updated to Rust 2021.
#53
avhz
closed
4 months ago
0
Fix test cases
#52
ninkoze
closed
4 years ago
0
Montecarlo example
#51
jonathanstrong
closed
5 years ago
0
Minor style changes
#50
jonathanstrong
closed
5 years ago
1
add api docs link to readme
#49
jonathanstrong
closed
5 years ago
0
Interested in collaborating
#48
jonathanstrong
opened
5 years ago
2
Update fc
#47
MarcusRainbow
closed
6 years ago
0
Thread safety
#46
MarcusRainbow
closed
6 years ago
0
Generate and test the c interface
#45
MarcusRainbow
closed
6 years ago
0
Implement C interface
#44
MarcusRainbow
closed
6 years ago
0
Add ApproxEq functionality to simplify testing
#43
MarcusRainbow
closed
6 years ago
0
Create Facade module
#42
MarcusRainbow
closed
6 years ago
0
Want an approximate JSON comparator
#41
MarcusRainbow
closed
6 years ago
1
European on basket has wrong dependencies
#40
MarcusRainbow
opened
6 years ago
0
Deduplication for currencies and instruments
#39
MarcusRainbow
closed
6 years ago
0
Implement deduplication for DAGs of shared objects
#38
MarcusRainbow
closed
6 years ago
0
Serialization/deserialization for vol surfaces
#37
MarcusRainbow
closed
6 years ago
0
Serialization and deserialization
#36
MarcusRainbow
closed
6 years ago
0
Recursion for instruments, for example Basket
#35
MarcusRainbow
closed
6 years ago
0
Discount date
#34
MarcusRainbow
opened
6 years ago
0
Pass val_date(s) to priceable.price method
#33
MarcusRainbow
closed
6 years ago
0
Time-forward greeks and Theta
#32
MarcusRainbow
closed
6 years ago
0
Sort out price recursion
#31
MarcusRainbow
closed
6 years ago
1
Solvers module
#30
MarcusRainbow
closed
6 years ago
0
Implement Vega and Volga
#29
MarcusRainbow
closed
6 years ago
0
Implement DeltaGamma
#28
MarcusRainbow
closed
6 years ago
0
Bugfixes to Theta and time-bumped calculation
#27
MarcusRainbow
closed
6 years ago
0
StickySpot dynamic
#26
MarcusRainbow
opened
6 years ago
0
Test for time-bump in self-pricer
#25
MarcusRainbow
closed
6 years ago
1
Implement time bumping for Theta etc
#24
MarcusRainbow
closed
6 years ago
0
Bumpable now has only one bump method
#23
MarcusRainbow
closed
6 years ago
0
ex dates
#22
MarcusRainbow
opened
6 years ago
0
Facade
#21
MarcusRainbow
closed
6 years ago
0
Serialisation
#20
MarcusRainbow
closed
6 years ago
1
Multiple results from price or mc_price
#19
MarcusRainbow
opened
6 years ago
0
FX instrument and forward
#18
MarcusRainbow
opened
6 years ago
0
Handle stochastic flows in Monte-Carlo
#17
MarcusRainbow
opened
6 years ago
0
Lots more date rules
#16
MarcusRainbow
opened
6 years ago
0
Lots more day-count conventions
#15
MarcusRainbow
opened
6 years ago
0
Calibrators
#14
MarcusRainbow
closed
6 years ago
1
Bump for correlation
#13
MarcusRainbow
opened
6 years ago
0
Implement risks
#12
MarcusRainbow
closed
6 years ago
1
BlackDiffusion works in spot space
#11
MarcusRainbow
opened
6 years ago
0
Correlations
#10
MarcusRainbow
opened
6 years ago
0
Check third party libraries
#9
MarcusRainbow
opened
6 years ago
8
Rand uses a new seed each time
#8
MarcusRainbow
opened
6 years ago
0
Sobol and other number generators
#7
MarcusRainbow
opened
6 years ago
0
Thread safety
#6
MarcusRainbow
closed
6 years ago
1
Markov functional model
#5
MarcusRainbow
opened
6 years ago
0
Quanto, Composite and Basket instruments
#4
MarcusRainbow
opened
6 years ago
0
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