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Outlook for Quantrs

This document outlines the planned features and improvements for the quantrs library. The goal is to provide a comprehensive and intuitive quantitative finance library for Rust, with support for various financial instruments and models.

Planned Features

Black-Scholes

  • European Options Price and Greeks
  • Cash or Nothing Binary Options Price and Greeks
  • Asset or Nothing Binary Options Price and Greeks
  • Binary Cash-or-Nothing Options Price and Greeks
  • Binary Asset-or-Nothing Options Price and Greeks
  • Rainbow Options Price and Greeks
  • FX European Options Price and Greeks
  • Swaption Price and Greeks
  • Caplet/Floorlet Price and Greeks
  • Cap/Floor Price and Greeks

Black-76

  • European Options Price and Greeks
  • Cash or Nothing Binary Options Price and Greeks
  • Asset or Nothing Binary Options Price and Greeks

Lattice

  • European Options Price and Greeks
  • American Options Price and Greeks
  • Cash or Nothing Binary Options Price and Greeks
  • Asset or Nothing Binary Options Price and Greeks
  • Bermudan Options Price and Greeks
  • Basket Options Price and Greeks
  • Rainbow Options Price and Greeks
  • Barrier Options Price and Greeks
  • Double Barrier Options Price and Greeks

Monte-Carlo

  • European Options Price and Greeks
  • Cash or Nothing Binary Options Price and Greeks
  • Asset or Nothing Binary Options Price and Greeks
  • Basket Options Price and Greeks
  • Rainbow Options Price and Greeks
  • Barrier Options Price and Greeks
  • Double Barrier Options Price and Greeks
  • Asian Options Price and Greeks
  • Lookback Options Price and Greeks

Finite Difference

  • European Options Price and Greeks
  • American Options Price and Greeks
  • Barrier Options Price and Greeks
  • Asian Options Price and Greeks
  • Lookback Options Price and Greeks

Heston

  • European Options Price and Greeks
  • Barrier Options Price and Greeks
  • Double Barrier Options Price and Greeks
  • Asian Options Price and Greeks
  • Lookback Options Price and Greeks
  • Binary Cash-or-Nothing Options Price and Greeks
  • Binary Asset-or-Nothing Options Price and Greeks

Greeks Calculation

  • Implement missing 1st order Greeks:

    • Lambda
    • Epsilon

  • Implement missing 2nd order Greeks:

    • Vanna
    • Charm
    • Vomma
    • Veta
    • Vera

  • Implement missing 3rd order Greeks:

    • Speed
    • Zomma
    • Color
    • Ultima
    • Parmicharma

FX

  • FX Options under Black Scholes: Price and Greeks Calculator
  • FX Options under Black Scholes: Price and Greeks with Analysis of Deltas
  • FX Options under Black Scholes: ATM Strikes and Deltas
  • FX Strike from Delta and Volatility
  • FX Smile Volatility for a Given Delta
  • FX Smile Volatility for a given Strike
  • FX Smile Curve
  • FX Smile Strangle from Market Strangle
  • FX Market Strangle from Smile Strangle

Basket

  • Vasicek's LHP model: Loss Distribution
  • Vasicek's LHP model: Single Tranche CDO Price and Greeks Calculator
  • Vasicek's LHP model: Base Correlation Calculator
  • Vasicek's LHP model: Single Tranche CDO Price and Greeks Analysis
  • Vasicek's LHP model: Single Tranche CDO's Spread
  • Vasicek's HP model: Kth-to-Default Protection Price and Greeks Calculator
  • Vasicek's HP model: Kth-to-Default Protection Price and Greeks Analysis
  • Markowitz Efficient Frontier

Short Rates

  • Merton Short Rate model
  • Vasicek Short Rate model
  • CIR Short Rate model
  • Ho Lee Short Rate model
  • Hull White Short Rate model (One Factor)

Yield Curves

  • Holiday generator
  • Day count conventions: Calculate Maturity Date /Add Business Days
  • Daycount Conventions: Calculate No of Days between two Dates
  • Daycount: Calculate cash flow dates and daycount between two dates per given frequency
  • Yield Curve: Interpolation Analysis
  • Yield Curve Interpolation using LIBOR
  • Yield Curve Interpolation using FRA
  • Yield Curve Interpolation using Swap

Rates

  • Par swap rate and Greeks Calculator
  • Swap Price and Greeks Calculator
  • Swaption and underlying swap
  • Caplet Floorlet Price and Greeks Calculator
  • Cap Floor Price and Greeks Calculator

Data Retrieval

  • Integrate with financial data providers:
    • Yahoo Finance
    • Alpha Vantage
    • Quandl
    • IEX Cloud

Fixed Income & Interest Rate Models

  • Support for fixed income instruments:
    • Bond #
    • Duration
    • Convexity
    • Yield curve construction
    • Term structure modeling
    • Forward rate agreements
    • Interest rate models (e.g., Vasicek, CIR)

Time Series Analysis

  • Implement time series analysis tools:
    • Moving averages
    • Volatility estimation
    • Correlation and cointegration
    • ARIMA models
    • GARCH models
    • Kalman filter

Portfolio Optimization

  • Support for portfolio optimization techniques:
    • Mean-variance optimization
    • Black-Litterman model
    • Risk parity
    • Minimum variance
    • Maximum diversification

Rates Space

  • Yield curve modelling, parameterization, linear swap #/risk
  • Inflation modelling and swap/linker #
  • Vanilla swaptions, SABR, YCSO, mid-curve swaptions, CMS, Bermudans
  • Listed rates futures and options
  • Bond/Repo #
  • MBS modelling and integration into OTC risk
  • Risk based PnL across Fixed Income assets

License

This project is licensed under either of:

at your option.

© Carlo Bortolan

Carlo Bortolan  ·  GitHub carlobortolan  ·  contact via carlobortolan@gmail.com