DerivFabric
High-performance derivatives pricing framework in Rust, exposed through REST and gRPC APIs.
What DerivFabric provides
| Capability | Coverage |
|---|---|
| Instruments | Vanilla, barrier, Asian, lookback, binary, spread, variance swap, autocallables, convertible bonds, IR swaps, caps/floors, CDS, inflation |
| Models | Black-Scholes, Bachelier, Heston, SABR, Merton, Bates, Dupire, Hull-White, CIR, Vasicek, LMM, G2++, Jarrow-Yildirim |
| Pricers | Analytical (BS, BAW, Bjerksund-Stensland), Monte Carlo (GBM, LSM), finite difference, binomial/trinomial trees, FFT (Carr-Madan) |
| Risk | Full Greeks, portfolio VaR, stress testing, hedge optimization, XVA (CVA/DVA/FVA/KVA) |
| DSL | Composable contract algebra with serializable spec layer for API exposure |
Quick links
- Capability Matrix - Every instrument family, the pricer that serves it, its validation status and its stated limitations
- Contract DSL - Composable algebraic contracts (straddles, autocalls, worst-of, custom payoffs)
- Getting Started - Get a key and price your first option
- REST API Reference - The REST surface, endpoint by endpoint
- OpenAPI Specification - The machine-readable contract, and how to generate a client
- gRPC API Reference - 9 gRPC services
Validation
DerivFabric is validated against two independent reference libraries:
- QuantLib - 300+ vanilla vectors, 66+ Greeks vectors, 84+ matrix vectors
- FinancePy - 300+ vanilla, 66+ Greeks, 40+ lookback, 40+ American, 96+ Asian vectors
Cross-library triangulation ensures no single-source bias in golden vectors.