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.

Usage

View the docs for usage and examples.

lib.rs:

This library provides an simple, lightweight, and efficient (though not heavily optimized) implementation of the Black76 model for pricing European options.

Provides methods for pricing options, calculating implied volatility, and calculating the first, second, and third order Greeks.

Example:

use black76::{Inputs, OptionType, Pricing};
let inputs = Inputs::new(OptionType::Call, 100.0, 100.0, None, 0.05, 20.0/365.25, Some(0.2));
let price: f32 = inputs.calc_price().unwrap();

Criterion benchmark can be ran by running:

cargo bench

See the Github Repo for full source code.
See the Documentation for full documentation.