14 releases (6 breaking)
|0.24.0||Apr 2, 2023|
|0.23.3||Apr 1, 2023|
|0.23.1||Mar 12, 2023|
|0.22.1||Mar 12, 2023|
|0.18.0||Feb 25, 2023|
#101 in Finance
90 downloads per month
This library provides an simple, lightweight, and efficient (though not heavily optimized) implementation of the Black76 model for pricing European options.
Includes all first, second, and third order Greeks.
- calc_iv() in the ImpliedVolatility trait which uses Modified Corrado-Miller by Piotr P√luciennik (2007) for the initial volatility guess and the Newton Raphson algorithm to solve for the implied volatility.
- calc_rational_iv() in the ImpliedVolatility trait which uses "Let's be rational" method from "Let’s be rational" (2016) by Peter Jackel. Utilizing Jackel's C++ implementation to get convergence within 2 iterations with 64-bit floating point accuracy.
View the docs for usage and examples.