RustAtlas

RustAtlas is a high-performance quantitative finance library written in Rust, designed for precision and speed in fixed-income pricing, FX derivatives, and ALM simulation. Built on a visitor pattern architecture with type-safe cashflows and pluggable market models.

Status: Production-ready for fixed-income instruments and ALM simulation. Derivatives pricing actively maintained.

Key Highlights

• 🚀 Type-safe: Leverages Rust's type system for instrument and cashflow safety
• ⚡ High-performance: Parallel computation via Rayon, forward-mode AD for sensitivities
• 🏗️ Extensible: Visitor pattern + trait-based design for custom analytics
• 📊 Comprehensive: 20+ pricing visitors, multi-curve bootstrapping, ALM simulation
• 🌍 Multi-currency: Automatic FX conversion, triangulation, date-window averaging
• 🔒 No panics: All fallible operations return Result<T> via unified error type

Table of Contents

• Quick Start
• Architecture
• Examples
• Features
• Installation
• Contributing
• Roadmap
• License

Architecture

MarketStore ──► SimpleModel ──► Visitors (NPV, Par, Duration, Z-spread, …)
     │
     ├── IndexStore  (yield curves, Ibor/Overnight indices)
     └── ExchangeRateStore (spot rates, historical rates, forecasts)

• Instruments are built via fluent Make* constructors and hold typed cashflows.
• Visitors traverse cashflows without mutating instruments (ConstVisit) or with mutation (Visit).
• The prelude module re-exports everything needed for day-to-day use.

Quick Start

Installation

Add to your Cargo.toml:

[dependencies]
rustatlas = "1.0"

Or for development (local path):

[dependencies]
rustatlas = { path = "../path/to/rustatlas" }

Documentation: docs.rs/rustatlas | Source: github.com/Poss9368/rustatlas-finance

Build a Fixed-Rate Instrument

use rustatlas::prelude::*;

let start_date = Date::new(2020, 1, 1);
let end_date = start_date + Period::new(2, TimeUnit::Months);
let rate = InterestRate::new(
    0.05,
    Compounding::Compounded,
    Frequency::Annual,
    DayCounter::Actual360,
);

let instrument = MakeFixedRateInstrument::new()
    .with_start_date(start_date)
    .with_end_date(end_date)
    .with_payment_frequency(Frequency::Monthly)
    .with_rate(rate)
    .with_notional(1_000.0)
    .with_side(Side::Receive)
    .with_currency(Currency::USD)
    .equal_payments()
    .build()?;

instrument.cashflows().for_each(|cf| println!("{}", cf));

Price with NPV Visitor

Pricing is done through visitors. The SimpleModel resolves discount factors and index fixings from a MarketStore:

use rustatlas::prelude::*;

let market_store = create_store(); // see examples/common/common.rs
let ref_date = market_store.reference_date();

let instrument = MakeFixedRateInstrument::new()
    .with_start_date(ref_date)
    .with_end_date(ref_date + Period::new(10, TimeUnit::Years))
    .with_rate(InterestRate::new(0.05, Compounding::Simple, Frequency::Annual, DayCounter::Thirty360))
    .with_payment_frequency(Frequency::Semiannual)
    .with_side(Side::Receive)
    .with_currency(Currency::USD)
    .bullet()
    .with_discount_curve_id(Some(2))
    .with_notional(100_000.0)
    .build()?;

let model = SimpleModel::new(&market_store);
let npv = NPVConstVisitor::new(&model, true).visit(&instrument)?;
assert_ne!(npv, 0.0);

For more examples, see the examples folder.

Examples

Example	Description
fixedratepricing	Fixed rate loan: NPV, accrual, par rate — starting today, forward-starting, and already-started
floatingratepricing	Floating rate loan with index fixing, NPV, and par spread
swappricing	Vanilla IRS (fixed vs. floating): NPV and par rate, with and without spread
fxforward	Vanilla FX Forward and Non-Deliverable Forward (NDF) pricing
rolloversimulation	ALM rollover engine: constant portfolio, growth mode, and parallel NPV by date

cargo run --example fixedratepricing
cargo run --example floatingratepricing
cargo run --example swappricing
cargo run --example fxforward
cargo run --example rolloversimulation

Features

Market Data & Curves

Feature	Status
Ibor / Overnight indices	✅
Accrual for Ibor / Overnight (floating coupons)	✅
Flat-forward term structure	✅
Zero-rate term structure (date-based & tenor-based)	✅
Discount-factor term structure	✅
Composite term structure (spread + base, multiplicative DFs)	✅
Synthetic term structure (ratio of DF products)	✅
Tenor-based spread term structure	✅
Curve shock / parallel shift analysis	✅
Bootstrapping engine (multi-curve, multi-instrument)	✅
Fixing period adjustments	✅
Advance MarketStore to T+1	✅
Curves with parametric models (Nelson-Siegel-Svensson, Vasicek, …)	🔜 Planned

Cashflows & Coupons

Feature	Status
Simple cashflow (disbursement / redemption)	✅
Fixed-rate coupon	✅
Floating-rate / Ibor coupon	✅
Indexed FX cashflow	✅

Financial Instruments

Instrument	Structures	Status
Fixed-rate loan / deposit	Bullet, Amortizing, Zero-coupon, Equal installments, Irregular	✅
Floating-rate loan / deposit	Bullet, Amortizing, Zero-coupon, Irregular	✅
Mixed-rate (double-rate) instrument	—	✅
Fixed-rate bond	—	✅
Current account	—	✅
Time deposit	—	✅
Vanilla IRS (fixed vs. floating)	—	✅
Cross-currency swap	—	✅
Vanilla FX Forward	—	✅
Non-Deliverable Forward (NDF)	—	✅
Forward-starting instruments	—	✅
Options	—	🔜 Planned

Analytics (Visitors)

Visitor	Description	Status
NPVConstVisitor	Net present value	✅
NPVByDateConstVisitor	NPV bucketed by payment date	✅
NPVByTenorConstVisitor	NPV bucketed by tenor	✅
ParValueVisitor	Par rate / par spread	✅
DurationConstVisitor	Macaulay duration	✅
DV01ConstVisitor	Dollar value of 1 bp (analytical)	✅
ZSpreadConstVisitor	Zero spread (Z-spread) via Brent solver	✅
YieldRateConstVisitor	Yield-to-maturity	✅
FixingVisitor	Resolves forward rates into floating coupons	✅
FixingFxVisitor	Resolves FX rates into indexed cashflows	✅
AccruedInterestConstVisitor	Accrued interest	✅
AccruedAmountConstVisitor	Accrued amount	✅
InterestPaymentConstVisitor	Scheduled interest payments	✅
OutstandingsConstVisitor	Outstanding notional over time	✅
RedemptionsConstVisitor	Redemption cashflows	✅
PlacementConstVisitor	Placement (disbursement) cashflows	✅
NotPayInterestConstVisitor	Capitalised (not-yet-paid) interest	✅
CashflowCompressorConstVisitor	Compress cashflows by date	✅
CashflowsAggregatorConstVisitor	Aggregate cashflows across instruments	✅

ALM / Simulation

Feature	Description	Status
RolloverSimulationEngine	Day-by-day portfolio rollover with configurable strategies	✅
NPVEngine	Parallel portfolio NPV (Rayon-backed, chunked)	✅
Growth modes	PaidAmount, Annual, CustomGrowth (interpolated vector)	✅
Scale factor	Rescale base redemptions before simulation	✅

Currencies & FX

Feature	Status
Spot exchange rates	✅
Historical exchange rate store	✅
Forward FX via currency forecast curves	✅
FX triangulation	✅
Date-window averaging	✅
Automatic currency conversion in cashflows	✅
Load currencies from JSON	✅

Math

Feature	Status
Linear interpolation	✅
Log-linear interpolation	✅
Cubic interpolation	✅
Brent root-finding solver	✅
Brent optimisation solver	✅
Newton-Raphson solver	✅
Gauss-Newton solver	✅
Forward-mode AD (ADReal + Tape)	✅
Compile-time automatic differentiation	🔜 Planned (tracking rust-lang#124509)

Time Utilities

Feature	Status
Date arithmetic	✅
Period (tenor) arithmetic	✅
Schedule generation	✅
IMM dates	✅
Day counters: Actual/360, Actual/365, Actual/Actual, Business/252, 30/360	✅
Calendars: NullCalendar, WeekendsOnly, Chile, USA, Brazil, Colombia, Mexico, TARGET	✅
Business day conventions	✅

Rust-specific

Feature	Status
Unified error type (AtlasError) via thiserror	✅
No panics in library code (all errors propagated via Result)	✅
Thread-safe market data (Arc<RwLock<…>>)	✅
Parallel computation via Rayon	✅
Serde serialization for core types	✅

Known Issues / Tracked Work

Issue	Status
Weekend fixings	✅ Feature + unit tests
Grace periods in loans	✅ Feature + unit tests
Automatic currency conversion	✅ Feature + unit tests

Installation

Requirements:

• Rust 1.82.0 or later
• Cargo (comes with Rust)

Clone and build:

git clone https://github.com/Poss9368/rustatlas-finance.git
cd rustatlas-finance
cargo build --release

Run tests:

cargo test --all-features

Run examples:

cargo run --release --example fixedratepricing

Dependencies

Crate	Purpose
chrono	Date parsing
rayon	Parallel iterators
thiserror	Error derivation
serde / serde_json	Serialization
nalgebra	Linear algebra (solvers)
bumpalo	Arena allocator (AD tape)
colored	Terminal output formatting

Contributing

Contributions are welcome! Please follow these guidelines:

1. Fork the repository
2. Create a feature branch: git checkout -b feature/my-feature
3. Commit with clear messages: git commit -m 'Add feature X'
4. Run tests: cargo test --all-features
5. Run formatter: cargo fmt
6. Run linter: cargo clippy -- -D warnings
7. Push to your fork and open a Pull Request

For major changes, please open an issue first to discuss what you'd like to change.

See CONTRIBUTING.md for more details.

Roadmap

Near-term (v1.x)

• Parametric yield curve models (Nelson-Siegel-Svensson, Vasicek)
• Option pricing (Black-Scholes, Binomial)
• Enhanced benchmarking suite
• WebAssembly (WASM) build

Medium-term (v2.x)

• Monte Carlo simulation engine
• Local volatility & stochastic vol models
• Multi-threaded curve bootstrapping
• REST API service wrapper

Long-term

• Compile-time automatic differentiation (tracking rust-lang#124509)
• GPU-accelerated computations
• Real-time data connectors (Bloomberg, Reuters)

License

RustAtlas is released under the MIT License. See LICENSE for details.

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Questions? Open an issue or check the examples folder for more guidance.