QuantSupport
github.com/jmelo11/quantsupport- Category
- Developer Tools
- Type
- TOOL
- GitHub
- 25 stars
- Latest release
- v0.1.7-alpha
- Date
About
QuantSupport is a Rust quant library covering curve construction, simulation, and risk analytics across equity, rates, FX, and fixed-income asset classes. It uses automatic differentiation throughout to compute risk sensitivities for real trading setups, and includes an XVA engine plus a scripting language for structuring complex payoffs, with a companion example repo showing LLMs using its scripting features for pricing.
Why it made the leaderboard
Offers financial engineers a production-oriented Rust risk/pricing library built on automatic differentiation for real sensitivities, an area usually locked behind proprietary vendor systems.
Tags
quant-financerustrisk-analyticsxvaautomatic-differentiationderivatives
Tech Stack
Rust
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