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

Download history 83/week @ 2023-02-23 17/week @ 2023-03-02 104/week @ 2023-03-09 7/week @ 2023-03-16 13/week @ 2023-03-23 65/week @ 2023-03-30 55/week @ 2023-04-06 1/week @ 2023-04-13 14/week @ 2023-04-20 2/week @ 2023-04-27 30/week @ 2023-05-04 17/week @ 2023-05-11 14/week @ 2023-05-18 28/week @ 2023-05-25

90 downloads per month

MIT license

1MB
1K SLoC

C++ 736 SLoC // 0.4% comments Rust 506 SLoC // 0.1% comments

black76

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.

Implements both:

Usage

View the docs for usage and examples.

Other packages available:
Python: Pypi
WASM: npm

Dependencies

~4.5MB
~91K SLoC