3 ms·
Fun, but seems extremely limited. I can't see a way to bootstrap a yield curve for interest rates, which is the first thing i would need to do. The standard mod
by twic 6y ago
Fun, but seems extremely limited. I can't see a way to bootstrap a yield curve for interest rates, which is the first thing i would need to do. The standard model for curves seems to bake in assumptions about day count convention and interpolation:
https://github.com/MarcusRainbow/QuantMath/blob/b51ffacc2cfe5b0c35578537341b207f3eb798ed/src/data/curves.rs#L118 https://github.com/MarcusRainbow/QuantMath/blob/b51ffacc2cfe...
There is no provision for swaps or futures. Perhaps this is not aimed at rates use cases?