quantrs

Quantrs is a tiny quantitative finance library for Rust. It is designed to be as intuitive and easy to use as possible so that you can work with derivatives without the need to write complex code or have a PhD in reading QuantLib documentation. The library is still in the early stages of development, and many features are not yet implemented.

Please check out the documentation here.

Features

Options Pricing

Quantrs supports options pricing with various models for both vanilla and exotic options as well as options trading strategies for both basic options spreads and non-directional strategies.

Usage

Add this to your Cargo.toml:

[dependencies]
quantrs = "0.1.6"

Now if you want to e.g., model binary call options using the Black-Scholes model, you can:

use quantrs::options::*;

// Create a new instrument with a spot price of 100 and a dividend yield of 2%
let instrument = Instrument::new().with_spot(100.0).with_cont_yield(0.02);

// Create a new Cash-or-Nothing binary call option with:
// - Strike price (K) = 85
// - Time to maturity (T) = 0.78 years
let option = BinaryOption::cash_or_nothing(instrument, 85.0, 0.78, Call);

// Create a new Black-Scholes model with:
// - Risk-free interest rate (r) = 5%
// - Volatility (σ) = 20%
let model = BlackScholesModel::new(0.05, 0.2);

// Calculate the price of the binary call option using the Black-Scholes model
println!("Price: {}", model.price(&option));

// Calculate first order greeks for the option
println!("{:?}", Greeks::calculate(&model, &option));

This will output:

Price: 0.8006934914644723
Greeks { delta: 0.013645840354947947, gamma: -0.0008813766475726433, theta: 0.17537248302290848, vega: -1.3749475702133236, rho: 0.4398346243436515 }

Plotting

Quantrs also supports plotting option prices and strategies using the plotters backend.

E.g., Plot the P/L of a slightly skewed Condor spread:

use quantrs::options::*;

// Create a new instrument with a spot price of 100 and a dividend yield of 2%
let instrument = Instrument::new().with_spot(100.0).with_cont_yield(0.02);

// Create a vector of European call options with different strike prices
let options = vec![
    EuropeanOption::new(instrument.clone(), 85.0, 1.0, Call),
    EuropeanOption::new(instrument.clone(), 95.0, 1.0, Call),
    EuropeanOption::new(instrument.clone(), 102.0, 1.0, Call),
    EuropeanOption::new(instrument.clone(), 115.0, 1.0, Call),
];

// Create a new Black-Scholes model with:
// - Risk-free interest rate (r) = 5%
// - Volatility (σ) = 20%
let model = BlackScholesModel::new(0.05, 0.2);

// Plot a breakdown of the Condor spread with a spot price range of [80,120]
model.plot_strategy_breakdown(
    "Condor Example",
    model.condor(&options[0], &options[1], &options[2], &options[3]),
    80.0..120.0,
    "path/to/destination.png",
    &options,
);

See the documentation for more information and examples.

Benchmarks

Compared to other popular and well-maintained (i.e., actively developed, well-documented, and feature-rich) options pricing libraries, quantrs is significantly faster:

• 29x faster than QuantLib (python bindings)
• 113x faster than py_vollib
• 15x faster than RustQuant
• 2.7x faster than Q-Fin

You can find the benchmarks at quantrs.pages.dev/report

Published benchmarks have been measured on a selfhosted VM with 32 GB RAM, AMD Ryzen 7 PRO 6850U @ 2.70GHz, and Manjaro Linux x86_64

Minimum supported Rust version (MSRV)

This crate requires a Rust version of 1.77.0 or higher. Increases in MSRV will be considered a semver non-breaking API change and require a version increase (PATCH until 1.0.0, MINOR after 1.0.0).

Outlook

See OUTLOOK.md for a list of planned features and improvements.

Contributing

If you find any bugs or have suggestions for improvement, please open a new issue or submit a pull request.

License

This project is licensed under either of:

• MIT license or
• Apache License, Version 2.0

at your option.

© Carlo Bortolan

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