4 releases (breaking)
Uses old Rust 2015
| 0.5.0 | Mar 24, 2017 |
|---|---|
| 0.4.0 | Mar 18, 2017 |
| 0.3.0 | Mar 16, 2017 |
| 0.2.0 | Mar 16, 2017 |
#235 in Finance
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20KB
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greeks
This project is a simple implementation of options pricing and greeks for Rust.
Goals:
- Be fast
- Be accurrate
- Not have any external dependencies.
Supported Calculations
Greeks
First Order
- Delta
- Rho
- Theta
- Vega
Second Order
- Gamma
Pricing
- European call option
- European put option
Valution
- Call option at expiry
- Put option at expiry