### 13 releases (4 breaking)

0.5.0 | Mar 23, 2019 |
---|---|

0.4.0 | Mar 2, 2019 |

0.3.0 | Sep 16, 2018 |

0.2.8 | Aug 19, 2018 |

0.1.2 | Dec 2, 2017 |

**146** downloads per month

Used in **4** crates

**MIT**license

17KB

247 lines

Linux | Codecov |
---|---|

# black_scholes_rust

This is a simple Black Scholes option calculator written in rust. Documentation is on docs.rs.

## breaking changes

The move from 0.4 to 0.5 results changed the IV api to return a

rather than an `Result``<``f64`, `f64``>`

.`f64`

## using black_scholes_rust

Put the following in your Cargo.toml:

`[``dependencies``]`
`black_scholes ``=` `"`0.5`"`

Import and use:

`extern` `crate` black_scholes`;`
`let` stock `=` `5.``0``;`
`let` strike `=` `4.``5``;`
`let` discount `=` `0.``99``;`
`let` sigma `=` `0.``3``;`
`let` maturity`:``f64` `=` `2.``0``;`
`let` sqrt_maturity_sigma `=` sigma`*`maturity`.``sqrt``(``)``;`
`let` price `=` `black_scholes``::`call_discount`(`
stock`,` strike`,` discount`,`
sqrt_maturity_sigma
`)``;`

# tests

Note that the greeks don't have direct tests. Please feel free to add tests. However, these formulas are essentially and extensively tested in the fang oost option library.

#### Dependencies

~485KB

~10K SLoC