Examples
Each example is a workspace member under examples/ with its own data/ folder. Run from the repository root.
| Command | What it shows |
|---|---|
cargo run -p bootstrap | Loads quotes.json and curve_specs.json, bootstraps SOFR, TermSOFR3m, ICP and the CLP-under-USD collateral curve with MultiCurveBootstrapper, prints pillar dates, discount factors and zero rates |
cargo run -p valuation | Builds swaps with MakeSwap, evaluates Value, FairRate and Cashflows through PricingContext, prints the cashflow table |
cargo run -p sensitivity | Prices SOFR, Term SOFR, ICP and USD/CLP cross-currency swaps with DualFwd and prints per-quote sensitivity ladders |
cargo run -p evaluator | Registers several pricers in an Evaluator keyed by TypeId and prices a heterogeneous portfolio via &dyn Any |
cargo run -p volatilitysurface | Builds a SOFR caplet Black surface and prints interpolated vols on an expiry × strike grid |
cargo run -p hullwhite | Calibrates Hull-White to caplets (hw_calibration.json), prints the calibration quality table and ATM cap prices, simulates paths from simulation.json |
cargo run -p pfe | Builds claims for a swap and an FX forward, simulates with LgmMarketModel, prints EE/EPE/PFE profiles |
cargo run -p cva | Runs XvaEngine on a netting set (5Y SOFR swap + 5Y USD/CLP XCCY) with csa_terms.json and xva_config.json, prints CVA/FVA and sensitivities |
cargo run -p scripting-examples --bin valuation | Parses a scripted payoff, builds a ScriptEngine and prints value and expected cashflows |
cargo run -p scripting-examples --bin xva | Wraps a ScriptedProduct as contingent claims and runs it through the exposure engine next to a vanilla swap |
Common structure
let quotes: Vec<Quote> = serde_json::from_str(&fs::read_to_string("examples/<name>/data/quotes.json")?)?;
let curve_specs: Vec<CurveConfiguration> = serde_json::from_str(&fs::read_to_string(".../curve_specs.json")?)?;
let mut ctx = PricingContext::new()
.with_reference_date(reference_date)
.with_quote_store(QuoteStore::from_quotes(quotes))
.with_curve_configurations(curve_specs)
.with_fixing_store(fixings);
ctx.initialize()?;
let results = ctx.evaluate(&trade, &[Request::Value, Request::Sensitivities])?;Python
bindings/python mirrors the pricing and XVA examples (PricingContext(...), ctx.evaluate(trade, requests), ctx.run_xva(config, netting_sets)), returning pandas DataFrames; see Python API. Scripting is Rust-only.
Tests and benchmarks
cargo testruns unit tests, integration tests and doctests (cargo test --doc -p quantsupport).cargo bench -p benchmarksruns Criterion benchmarks for bootstrapping and pricing; reports land intarget/criterion.