Metadata-Version: 2.4
Name: qox
Version: 0.0.1a0
Classifier: Development Status :: 3 - Alpha
Classifier: Intended Audience :: Developers
Classifier: Intended Audience :: Financial and Insurance Industry
Classifier: License :: OSI Approved :: MIT License
Classifier: License :: OSI Approved :: Apache Software License
Classifier: Programming Language :: Python
Classifier: Programming Language :: Rust
Classifier: Topic :: Scientific/Engineering :: Mathematics
Summary: Quantitative finance library for Rust (Alpha)
Keywords: quant,finance,trading,mathematics
Author: Bruce Boutelje
License: MIT OR Apache-2.0
Requires-Python: >=3.9
Description-Content-Type: text/markdown; charset=UTF-8; variant=GFM

qox is an early stage quantitative finance library built to mirror what QuantLib does in C++, but written in Rust. Initial benchmarking suggests it's about 13x faster to get the major Greeks for a European option using the finite difference method on a single thread. It should be at least 10x faster to calibrate volatility. The library is set up to use automated differentiation as a core feature and is intended for institutional grade risk analytics. The goal is to match QuantLib's functionality with less than 2% of the energy cost during batching, while providing more power and superior ergonomics.

The current roadmap is to implement the following in the immediate future:

- Time-stepping methods
- Discrete dividends
- American options
- Bootstrapping yield curves
- Volatility surface construction

