├── .gitignore ├── .travis.yml ├── Cargo.toml ├── LICENSE ├── README.md ├── cbindgen.toml ├── examples └── montecarlo.rs ├── quantmath.h └── src ├── core ├── dedup.rs ├── factories.rs ├── mod.rs └── qm.rs ├── cpp-test ├── first_test.txt ├── inputs │ ├── az.json │ ├── bt.json │ ├── delta_gamma.json │ ├── european.json │ ├── fixings.json │ ├── gbp.json │ ├── market.json │ ├── pricer.json │ └── usd.json ├── quantmath_runner └── quantmath_runner.cpp ├── data ├── bump.rs ├── bumpdivs.rs ├── bumpspot.rs ├── bumpspotdate.rs ├── bumptime.rs ├── bumpvol.rs ├── bumpyield.rs ├── curves.rs ├── divstream.rs ├── fixings.rs ├── forward.rs ├── interfaces.rs ├── mod.rs ├── voldecorators.rs ├── volsmile.rs └── volsurface.rs ├── dates ├── calendar.rs ├── datetime.rs ├── mod.rs └── rules.rs ├── facade ├── c_interface.rs ├── handle.rs └── mod.rs ├── instruments ├── assets.rs ├── basket.rs ├── bonds.rs ├── mod.rs └── options.rs ├── lib.rs ├── math ├── brent.rs ├── interpolation.rs ├── mod.rs ├── numerics.rs └── optionpricing.rs ├── models ├── blackdiffusion.rs └── mod.rs ├── pricers ├── mod.rs ├── montecarlo.rs └── selfpricer.rs ├── risk ├── bumptime.rs ├── cache.rs ├── deltagamma.rs ├── dependencies.rs ├── marketdata.rs ├── mod.rs ├── timebumped.rs └── vegavolga.rs └── solvers ├── impliedvol.rs └── mod.rs /.gitignore: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/MarcusRainbow/QuantMath/HEAD/.gitignore -------------------------------------------------------------------------------- /.travis.yml: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/MarcusRainbow/QuantMath/HEAD/.travis.yml -------------------------------------------------------------------------------- /Cargo.toml: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/MarcusRainbow/QuantMath/HEAD/Cargo.toml 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