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
This is a simple Black Scholes option calculator written in rust. Documentation is on docs.rs.
The move from 0.4 to 0.5 results changed the IV api to return a
Result<f64, f64> rather than an
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 );
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.