RustyQLib

Quantitative finance in Rust — price derivatives from JSON, XML, or Rust.

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A lightweight quantitative finance library written entirely in Rust. Its numerical core — solvers, optimizers, lattices, PDE grids, FFT, adjoint differentiation — is written in-crate rather than pulled from a numerics stack, and the whole library contains zero unsafe. Use it as a stateless pricing service in a single binary, or as a library.

Every pricer is cross-checked in the test suite against independent oracles, put-call parity, replication identities and cross-engine agreement.

Quick start

cargo add rustyqlib                     # library
cargo install rustyqlib --features cli  # command-line tool

use rustyqlib::equity::builder::EquityOptionBuilder;
use rustyqlib::equity::utils::Engine;
use rustyqlib::core::trade::PutOrCall;
use rustyqlib::Instrument;

// build() validates every input and the engine/payoff combination:
// an option that builds is guaranteed to price
let option = EquityOptionBuilder::new()
    .spot(100.0).strike(100.0)
    .flat_vol(0.30).flat_rate(0.05).dividend_yield(0.02)
    .years_to_maturity(1.0)
    .vanilla(PutOrCall::Call)
    .engine(Engine::FiniteDifference)
    .build()?;

// one call returns value, all Greeks, and (on MC engines) the standard error
let r = option.price()?;
println!("pv {:.6}  delta {:.4}  vega {:.4}", r.pv, r.greeks.delta, r.greeks.vega);

Modules

Each has its own guide:

Module	Covers
src/equity	Equity derivatives — 10 pricing engines, 20+ payoffs, and the volatility model zoo (local vol, Heston, Bates, SABR, SLV, rough Bergomi, SVI/SSVI/eSSVI)
src/bonds	Fixed income — Treasury and corporate bonds, bills, FRNs, futures basis, convertibles, credit, and curve bootstrapping
src/cmdty	Commodities — swaps, APOs, spread options, swaptions; Bachelier and shifted-lognormal models for underlyings that print negative
src/validation	Model validation — runtime checks that measure model quality on today's data, reported in z-scores

Supporting modules: src/core (curves, vol surfaces, day counts, holiday calendars, solvers, optimizers, AAD, FFT), src/risk (VaR, Expected Shortfall, stress), src/data (free market-data feeds).

What's inside

• 10 pricing engines behind one dispatch — analytic, Black-76, two American approximations (BAW, Bjerksund-Stensland), binomial, finite difference, Heston ADI, parallel Monte Carlo, COS and Carr-Madan.
• Eight volatility frameworks — Black-Scholes, Dupire local vol, Heston, Bates (Merton and Kou jumps), SABR, SLV, rough Bergomi, and SVI/SSVI/eSSVI parametric surfaces with no-arbitrage checks.
• 20+ payoffs — vanillas, binaries, all eight barrier types with rebates and double-barrier corridors, Asians, lookbacks, choosers, autocallables and Phoenix notes, cliquets and Napoleons, accumulators, variance/gamma/corridor swaps, and multi-asset rainbows.
• Market-standard infrastructure — discount curves (discount factors as the source of truth), vol surfaces (strike, moneyness, FX delta), robust implied vol, day counts, and holiday calendars with business-day conventions and schedule generation.
• Free market data — US Treasury par yields, NY Fed SOFR/EFFR, and Cboe delayed option chains.

Feature flags

The default build is the lean pricing library — no CLI, no XML, ~40% fewer transitive dependencies.

Feature	Adds
(default)	pricing, calibration, risk, JSON contracts
xml	XML contract input/output
stress-config	TOML stress-scenario files
fetch	free official market data
cli	the rustyqlib binary (implies all of the above)

CLI

# price a JSON/XML file, a directory, or stdin
rustyqlib price --input contracts.json --output results.json
cat contracts.json | rustyqlib price -i - | jq '.[].output.pv'

# fetch free market data
rustyqlib fetch ust -o ust.json                       # Treasury par yields
rustyqlib fetch sofr                                  # NY Fed reference rates
rustyqlib fetch chain --symbol AAPL --normalize       # Cboe option chain

# chain -> implied vol surface -> Dupire local vol (documents + 3D plots)
rustyqlib fetch chain --symbol AAPL --normalize | rustyqlib build --curve ust.json -i - -o out/

# risk
rustyqlib stress -i portfolio.json -c scenarios.toml
rustyqlib risk -i portfolio.json --confidence 0.99 --horizon-days 1

rustyqlib --help          # full command list
rustyqlib interactive     # guided pricing in the terminal

Performance

Indicative single-threaded figures from cargo bench (criterion, fixed seeds):

Operation	Time
Black-Scholes npv(), curve and surface lookups included	~0.7 µs (~1.5M/sec)
20-strike Heston smile, COS	~1.6 ms (vs ~137 ms per-strike, ~90×)
American put, Leisen-Reimer 101 steps	~26 µs (vs ~2.3 ms on CRR-1000)

Documentation

• Examples — runnable end-to-end programs, including a real Cboe chain → parity forwards → implied surface → local vol → reprice.
• docs.rs — API documentation.

License

MIT — see License.