SabiQuant Documentation

Key Architectural Pillars

Zero Dependencies (std-only)

Built purely on the Rust standard library (std). Zero transitive dependencies, no external crate churn, no C-bindings, and instantaneous compilation. Effortlessly runs in restricted environments, microservices, and WebAssembly.

QuantLib Parity

Benchmarked and numerically verified against QuantLib reference implementations. Full analytical parity across ISDA/ICMA conventions, Actual/Actual ICMA day counts, business calendars, and stub periods.

Exact Decimal & Settlement

128-bit exact fixed-point decimal arithmetic (DecimalAmount) with 38 decimal places and 7 IEEE rounding modes. Built-in settlement boundaries isolate rounding error and defend against penny discrepancies.

Deep Analytical Risk

Full analytical first- and second-order risk metrics: Modified Duration, Macaulay Duration, Convexity, and analytical $dP/dy$ derivative computation without finite-difference approximation noise.

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Quick Example: Fixed-Income Valuation

Calculate clean price, dirty price, accrued interest, and risk analytics with SabiQuant:

use sabiquant::bonds::{BondPricingPlan, BondPricingResult};
use sabiquant::core::{Date, Frequency};
use sabiquant::core::calendars::TargetCalendar;
use sabiquant::core::daycount::ActualActualICMA;

fn main() -> Result<(), Box<dyn std::error::Error>> {
    // 1. Setup settlement and maturity dates
    let settlement = Date::from_ymd(2025, 3, 15)?;
    let maturity   = Date::from_ymd(2035, 3, 15)?;

    // 2. Define bond pricing plan (10Y, 4.5% annual coupon)
    let plan = BondPricingPlan::builder()
        .settlement(settlement)
        .maturity(maturity)
        .coupon_rate(0.045)
        .frequency(Frequency::Annual)
        .calendar(TargetCalendar::default())
        .day_counter(ActualActualICMA::default())
        .face_value(100.0)
        .build()?;

    // 3. Price bond at 4.20% market yield
    let market_yield = 0.042;
    let pricing: BondPricingResult = plan.price_from_yield(market_yield)?;

    println!("Dirty Price:       {:.4}", pricing.dirty_price);
    println!("Clean Price:       {:.4}", pricing.clean_price);
    println!("Accrued Interest:  {:.4}", pricing.accrued_interest);
    println!("Modified Duration: {:.4}", pricing.modified_duration);
    println!("Convexity:         {:.4}", pricing.convexity);

    // 4. Invert yield from target market clean price
    let target_clean_price = 102.435;
    let implied_yield = plan.yield_from_clean_price(target_clean_price)?;
    println!("Implied Yield:     {:.4}%", implied_yield * 100.0);

    Ok(())
}

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Installation

Add SabiQuant to your Cargo.toml:

[dependencies]
sabiquant = "0.1.0"

Or via the command line:

cargo add sabiquant