Lib-Itô-Fin

A Rust port of QuantLib for pricing, risk, and numerical methods, with Python and Go bindings over the same core. Pre-1.0: APIs may change. See status and scope and the release history.

Install

Rust

cargo add libitofin

Rust guide and examples · API reference

Python

Requires Python 3.10 or newer.

pip install itofin

Python guide and examples · API reference

Go

Requires Go 1.27.1, cgo, a C compiler, and the matching native release package. Follow the native installation guide first, then add the matching module version:

go get github.com/benbenbang/libitofin/sdk/go@v0.24.0

Use -tags itofin_external for builds, runs, tests, and vet outside this checkout. Go guide and examples · API reference

Documentation

Topic	Start here
Language guides and examples	Rust · Python · Go
Standalone currencies	Constructor and fields · Presets including TWD
FX delta helpers	Black delta conventions
Vanilla pricing and risk	BlackCalculator · Bond risk analytics · Coupon BPS and ATM rate
European digital and gap options	Cash-or-nothing analytic pricing · Asset-or-nothing FD pricing · Signed gap FD pricing
European percentage-strike options	Dimensionless-ratio FD pricing
CPI pricing	Coupon and leg foundation · CPI bonds · CPI versus Ibor swaps · Quoted-price cap/floor snapshots
Bond price and principal schedules	Price-fed ATM · Amortizing fixed bonds · Amortizing Ibor bonds
Retained instruments	Par asset swaps · Fixed-date FX forwards · Constant-notional Ibor Xccy
Standalone Gaussian processes	Constant-parameter GSR · Hull-White forward · MF state
Worked pricing walkthrough	Python, Rust, and Go
Releases, coverage, and remaining work	Status and scope · Issues
Build, test, and repository layout	Development
Architecture and porting principles	Design
Deliberate differences from QuantLib	Compatibility notes

Process bindings are not fitted models. Coupon BPS/ATM covers selected ordinary-bond helpers, not the wider BondFunctions overload set. Asset/gap FD pricing retains documented grid limitations. Amortizing constructors cover only positive, nonincreasing balances.

The tracked wiki/ pages hold detailed guides; the MkDocs site provides language tabs and API navigation.

License

BSD-3-Clause, the same license as QuantLib.