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avhz / RustQuant

Rust library for quantitative finance.
https://docs.rs/RustQuant
Apache License 2.0
950 stars 101 forks source link

Re-work `instruments::bonds` pricing. #88

Open avhz opened 10 months ago

avhz commented 10 months ago

Re-work bond pricing module once the foundations (such as calendars, day-counting, curves) are implemented.

joaquinbejar commented 3 weeks ago

I am open to working on this

avhz commented 3 weeks ago

Hi @joaquinbejar, thanks for the interest!

Which part are you keen to work on? The foundational stuff (time/date, schedules, etc) or the higher level pricing stuff ?

joaquinbejar commented 3 weeks ago

Hi @avhz,

It's up to you. I think I can work in any area. Let me know what is a priority or blocker, and I'll do my best.

avhz commented 3 weeks ago

In order to implement the pricers in a meaningful/useful way, we need the foundational stuff.

In particular a decent amount of work is needed in the time module, and we also need the following two issues:

In regards to the time module, ideally we need to be able generate schedules (of cashflows) that can be used in conjunction with a model and instrument in order to price the instrument.

At a high level, the idea would be something like:

Screenshot 2024-06-12 at 22 27 40

The time module kinda falls into both the Instrument and Market parts, and those two are the priority I'd say.

You're of course welcome to pick whatever interests you most, or if you have suggestions around implementation feel free to let me know.

joaquinbejar commented 3 weeks ago

Let's start with the time module cashflow schedules, then