### 25 releases (9 breaking)

0.24.0 | Sep 23, 2023 |
---|---|

0.23.3 | Jul 28, 2023 |

0.23.2 | Apr 1, 2023 |

0.23.1 | Mar 12, 2023 |

0.10.5 | Nov 21, 2022 |

#**158** in Finance

**74** downloads per month

**MIT**license

**1MB**

1.5K
SLoC

Contains
(**ELF lib**, 45KB) lib/lets_be_rational.so

# blackscholes

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

Includes all first, second, and third order Greeks.

Implements both:

- 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.

## Usage

View the docs for usage and examples.

#### Dependencies

~5MB

~99K SLoC