#pricing #derivative #monte-carlo #setting #black #price #pricer

derivative_pricer

A library providing pricers for various options in a Black-Scholes setting

3 unstable releases

0.2.1 Sep 20, 2024
0.1.1 Jun 23, 2024
0.1.0 Jun 18, 2024

#665 in Algorithms

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170 downloads per month

MIT license

65KB
1K SLoC

Introduction

This library provides tools for pricing derivative secureties in a Black-Scholes setting.

Features

  • Black Scholes pricing formulas for european call and put options, digital call and put options, forward price of a stock, and zero coupon bonds.
  • Monte-Carlo pricer for vanilla options.
  • Formulas for the greeks.

lib.rs:

#Introduction

This library provides tools for pricing derivative secureties in a Black-Scholes setting.

Features

  • Black Scholes pricing formulas for european call and put options, digital call and put options, forward price of a stock, and zero coupon bonds.
  • Monte-Carlo pricer for vanilla options.
  • Monte-Carlo pricer for exotic options.
  • Formulas for the greeks.

Dependencies

~1MB
~21K SLoC