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RustQuant: A Library for Quantitative Finance

85 points by nequo 3y ago

d0gsg0w00f 3y ago
Is this kind of like the Rust equivalent of Bank Python? https://calpaterson.com/bank-python.html https://calpaterson.com/bank-python.html
- mushufasa 3y ago
  No, it looks more like a Rust equivalent of libraries like ffn (financial functions for python) or many of the other ones listed here https://github.com/wilsonfreitas/awesome-quant https://github.com/wilsonfreitas/awesome-quant Using rust to do exploratory analysis in python seems like a misguided idea. But using rust to productize models that have performance and accuracy sensitivities, the things that C/C++ is still used for, indeed sounds like a good idea. Most of the python libraries used in finance, like numpy/pandas, call out to C for performance reasons; the libraries are essentially python bindings + syntax to C functions. It would be interesting to think about replacing that backend with rust.
  - pgwhalen 3y ago
    > Most of the python libraries used in finance, like numpy/pandas, call out to C for performance reasons; the libraries are essentially python bindings + syntax to C functions. It would be interesting to think about replacing that backend with rust. Lots of this going on already - check out projects like Polars and DataFusion.
ot1138 3y ago
I like where this is going. Keep it up. However, I wonder if it wouldn't reach a far greater audience in C++?
- twic 3y ago
  There's already (at least) one in C++: https://github.com/quantlib/QuantLib https://github.com/quantlib/QuantLib The appeal of writing one in Rust is that you could use it ergonomically in Rust!
twic 3y ago
You need a lot of details in place for a library like this to be useful. I think the most reliable way to get them is to be using the library for real work. Sadly this looks like a hobby project to me - I would love to be corrected if wrong. I don't mean to belittle this project. It's substantial, and there's some cool stuff in there! But automatic differentiation and a Monte Carlo solver, but no spline curve or swaps? What can you actually do with this?
- sophacles 3y ago
  From the Readme: > Disclaimer: This is currently a free-time project and not a professional financial software library. Nothing in this library should be taken as financial advice, and I do not recommend you to use it for trading or making financial decisions. It's a hobby project.

85 points by nequo 3y ago

Is this kind of like the Rust equivalent of Bank Python? https://calpaterson.com/bank-python.html https://calpaterson.com/bank-python.html

mushufasa 3y ago
No, it looks more like a Rust equivalent of libraries like ffn (financial functions for python) or many of the other ones listed here https://github.com/wilsonfreitas/awesome-quant https://github.com/wilsonfreitas/awesome-quant Using rust to do exploratory analysis in python seems like a misguided idea. But using rust to productize models that have performance and accuracy sensitivities, the things that C/C++ is still used for, indeed sounds like a good idea. Most of the python libraries used in finance, like numpy/pandas, call out to C for performance reasons; the libraries are essentially python bindings + syntax to C functions. It would be interesting to think about replacing that backend with rust.
- pgwhalen 3y ago
  > Most of the python libraries used in finance, like numpy/pandas, call out to C for performance reasons; the libraries are essentially python bindings + syntax to C functions. It would be interesting to think about replacing that backend with rust. Lots of this going on already - check out projects like Polars and DataFusion.

ot1138 3y ago

I like where this is going. Keep it up. However, I wonder if it wouldn't reach a far greater audience in C++?

twic 3y ago
There's already (at least) one in C++: https://github.com/quantlib/QuantLib https://github.com/quantlib/QuantLib The appeal of writing one in Rust is that you could use it ergonomically in Rust!

twic 3y ago

You need a lot of details in place for a library like this to be useful. I think the most reliable way to get them is to be using the library for real work. Sadly this looks like a hobby project to me - I would love to be corrected if wrong. I don't mean to belittle this project. It's substantial, and there's some cool stuff in there! But automatic differentiation and a Monte Carlo solver, but no spline curve or swaps? What can you actually do with this?

sophacles 3y ago
From the Readme: > Disclaimer: This is currently a free-time project and not a professional financial software library. Nothing in this library should be taken as financial advice, and I do not recommend you to use it for trading or making financial decisions. It's a hobby project.