autodiff Algorithmic adjoint differentiation (AAD) for efficiently computing gradients of scalar output functions $f: \mathbb{R}^n \rightarrow \mathbb{R}$. cashflows Implementations for Cashflows and Quotes, and similar types. data Data types that can be used for pricing and similar tasks (curves, term-structures, surfaces, etc). Methods for reading and writing data from/to various sources (CSV, JSON, Parquet). Can also download data from Yahoo! Finance. error RustQuant error handling module. instruments Implementations for financial instruments like Bonds, Options, and Money, including their pricing. Future additions will include swaps, futures, CDSs, etc. iso A few ISO code implementations: ISO-4217 (currency codes), ISO-3166 (country codes), ISO-10383 (market identifier codes). math Statistical distributions and their related functions (PDF, CDF, CF, etc), Fast Fourier Transform (FFT), numerical integration (double-exponential quadrature), optimisation/root-finding (gradient descent, Newton-Raphson), and risk-reward metrics. Also some sequence methods such as linspace and cumsum. ml Currently only linear and logistic regression, along with k-nearest neighbours classification are implemented. More to come in the future. macros Currently only plot_vector!() and assert_approx_equal!(). models Various models commonly used in quantitative finance, such as the various forms of Brownian Motion, short rate models, curve models, etc. portfolio Implementation of a portfolio type, which is a collection (HashMap) of Positions. stochastics Stochastic process generators for Brownian Motion (standard, arithmetic, fractional, and geometric) and various short-rate models (CIR, OU, Vasicek, Hull-White, etc). time Time and date functionality, such as DayCounter, calendars, constants, conventions, schedules, etc. trading Currently only a basic limit order book (LOB). Hopefully adding additional trading tools in the future.