5 releases (3 breaking)
0.4.0 | Aug 26, 2019 |
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0.3.0 | Mar 23, 2019 |
0.2.1 | Aug 19, 2018 |
0.2.0 | Aug 19, 2018 |
0.1.0 | Jul 5, 2018 |
#372 in Finance
8KB
109 lines
[lin-badge]: https://travis-ci.org/phillyfan1138/carr_madan_rust.svg?branch=master [cov-badge]: https://codecov.io/gh/phillyfan1138/carr_madan_rust/branch/master/graph/badge.svg
Linux | Codecov |
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![lin-badge] | ![cov-badge] |
Carr-Madan
This is a rust implementation of Carr Madan's FFT option pricing methodology.
Benchmarks
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
~4.5MB
~89K SLoC