#fft #option #pricing #algorithm #implementation

carr_madan

A library implementing Carr and Madan’s algorithm for option pricing

5 releases (3 breaking)

0.4.0 Aug 26, 2019
0.3.0 Mar 23, 2019
0.2.1 Aug 19, 2018
0.2.0 Aug 19, 2018
0.1.0 Jul 5, 2018

22 downloads per month

MIT license

8KB
109 lines

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Carr-Madan

This is a rust implementation of Carr Madan's FFT option pricing methodology.

Benchmarks

https://phillyfan1138.github.io/carr_madan_rust/report


lib.rs:

Carr-Madan approach for an option using the underlying's characteristic function. Some useful characteristic functions are provided in the cf_functions repository. Carr and Madan's approach works well for computing a large number of equidistant strikes. Link to Carr-Madan paper.

Dependencies

~2MB
~42K SLoC