QuantMath: Financial maths library for risk-neutral pricing and risk in Rust

Re:QuantMath: Financial maths library for risk-neutral prici... by klelatti on Sunday January 17, 2021 @03:24PM (#25814573)

Can anyone who is closer to this field suggest what the major options for open source libraries in this area would be? Quantlib? OpenGamma Strata?

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Re:QuantMath: Financial maths library for risk-neutral prici... by 9NRtKyP4 on Sunday January 17, 2021 @03:46PM (#25814786)

It’s still under development but some at Google are writing a quant library in Tensorflow. https://github.com/google/tf-quant-finance

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Re:QuantMath: Financial maths library for risk-neutral prici... by klelatti on Sunday January 17, 2021 @04:03PM (#25814931)

That looks really interesting and under active development - thanks.

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Re:QuantMath: Financial maths library for risk-neutral prici... by p33p on Sunday January 17, 2021 @03:30PM (#25814627)

Those are the two most well known options, yes.

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Re:QuantMath: Financial maths library for risk-neutral prici... by mellavora on Sunday January 17, 2021 @03:36PM (#25814684)

If you are comfortable with R, you could try xts/zoo/quantmod/PerformanceAnalytics/TTR

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Re:QuantMath: Financial maths library for risk-neutral prici... by klelatti on Sunday January 17, 2021 @03:40PM (#25814719)

Thanks!

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Re:QuantMath: Financial maths library for risk-neutral prici... by klelatti on Sunday January 17, 2021 @03:32PM (#25814653)

Thanks! Any views on the relative strengths of each would be much appreciated.

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