[HN Gopher] QuantMath: Financial maths library for risk-neutral ...
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       QuantMath: Financial maths library for risk-neutral pricing and
       risk in Rust
        
       Author : adamnemecek
       Score  : 70 points
       Date   : 2021-01-17 19:38 UTC (3 hours ago)
        
 (HTM) web link (github.com)
 (TXT) w3m dump (github.com)
        
       | klelatti wrote:
       | 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?
        
         | 9NRtKyP4 wrote:
         | It's still under development but some at Google are writing a
         | quant library in Tensorflow. https://github.com/google/tf-
         | quant-finance
        
           | klelatti wrote:
           | That looks really interesting and under active development -
           | thanks.
        
         | p33p wrote:
         | Those are the two most well known options, yes.
        
           | klelatti wrote:
           | Thanks! Any views on the relative strengths of each would be
           | much appreciated.
        
           | mellavora wrote:
           | If you are comfortable with R, you could try
           | xts/zoo/quantmod/PerformanceAnalytics/TTR
        
             | klelatti wrote:
             | Thanks!
        
       | surfsvammel wrote:
       | Interesting. I will keep an eye on this. Two comments though:
       | trying to handle corporate actions, instruments, pricing, risk as
       | well as settlement in one library might be a bit too ambitious.
       | Maybe it would be better to focus on just the pricing, or the
       | risk part of things? The other comment, is that I would probably
       | split products from the pricing. I looked at one of the product
       | definitions and it seemed to be intertwined with pricing.
       | Products and pricing can both be complex in an of themselves, and
       | they are not necessarily conceptually coupled. Just my two cents.
        
       | Dowwie wrote:
       | Note the last commit date
        
         | adamnemecek wrote:
         | 8 months ago?
        
       | fancyfredbot wrote:
       | Great to see Morgan Stanley allow quants to work on open source
       | projects directly related to their day job. I do not think all
       | banks are as open minded!
        
         | orange_tee wrote:
         | I am guessing but since this is for pricing and risk, it's a
         | very different game from trading. In this particular situation
         | they prefer to have a reliable piece of software that is shared
         | and used by all. Just guessing.
        
       | koolk3ychain wrote:
       | What kind of maths are these libraries based on? Always been
       | curious how math is used in finance to build investment
       | strategies / gauge risk.
        
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       (page generated 2021-01-17 23:01 UTC)