### 47 releases (30 breaking)

new 0.31.0 | Oct 23, 2020 |
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0.29.1 | Oct 12, 2020 |

0.28.1 | Jan 11, 2020 |

0.28.0 | Mar 2, 2019 |

0.20.0 | Jul 26, 2018 |

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Used in carr_madan

**MIT**license

68KB

1.5K
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# Fang-Oosterlee Option Pricing for Rust

Implements Fang-Oosterlee option pricing in Rust. Documentation is at docs.rs

## Use

The crate is available on crates.io.

Import and use:

`extern` `crate` num_complex`;`
`use` `num_complex``::`Complex`;`
`extern` `crate` fang_oost_option`;`
`use` `fang_oost_option``::`option_pricing`;`
`let` num_u`:``usize` `=` `256``;`
`let` asset `=` `50.``0``;`
`let` strikes `=` `vec!``[``75.``0``,` `50.``0``,` `40.``0``]``;`
`//` max_strike sets the domain of the empirical estimate.
`//` This should be large enough to capture the potential
`//` dynamics of the underlying, but not too large or accuracy
`//` will sacrificed. A good rule of thumb is to scale this
`//` in proportion to the volatility of the underlying. For
`//` example, if the underlying is 50.0 and has a (log)
`//` volatility of 0.3, then a good max strike would be
`//` exp(0.3*scale)*50.0. I tend to use scale=10, yielding
`//` in this example ~1004.
`let` max_strike `=` `1004.``0``;`
`let` rate `=` `0.``03``;`
`let` t_maturity `=` `0.``5``;`
`let` volatility`:``f64` `=` `0.``3``;`
`//`As an example, cf is standard diffusion
`let` `cf` `=` `|``u``:` `&``Complex``<``f64``>``|` `{`
`(``(`rate`-`volatility`*`volatility`*``0.``5``)``*`t_maturity`*`u`+`volatility`*`volatility`*`t_maturity`*`u`*`u`*``0.``5``)``.``exp``(``)`
`}``;`
`let` prices `=` `option_pricing``::`fang_oost_call_price`(`
num_u`,` asset`,` `&`strikes`,` max_strike`,`
rate`,` t_maturity`,` `&`cf
`)``;`

# Speed

The benchmarks are comparable to my C++ implementation. To run the tests with benchmarking, use

. You can see the benchmarks at https://danielhstahl.github.io/fang_oost_option_rust/report/index.html.`cargo`` bench`

#### Dependencies

~3MB

~63K SLoC