3 unstable releases
0.2.1 | Jan 16, 2024 |
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0.2.0 | Jan 16, 2024 |
0.1.0 | Jan 14, 2024 |
#64 in Finance
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SLoC
Implied Vol
More information about this crate can be found in the crate documentation.
About
implied-vol
is a high-performance, pure Rust implementation of Peter Jäckel's implied volatility calculations. This
library serves as a robust Rust reimplementation of the methodologies presented in Jäckel's works.
Source Works
Our library follows the methods presented in two pivotal papers by Peter Jäckel:
-
Let's Be Rational: This work presents an approach to deduce Black’s volatility from option prices with high precision.
-
Implied Normal Volatility: Here, Jäckel provides an analytical formula to calculate implied normal volatility (also known as Bachelier volatility) from vanilla option prices.
Both resources can be accessed at Peter Jäckel's homepage.
Features
implied-vol
gains the benefits of being implemented in Rust, such as cross-compilation with Cargo and powerful static
analysis using Clippy lint. This library stands out by offering:
- Rapid, precise calculations of both implied Black volatility and normal (Bachelier) implied volatility.
- Exceptional testability and maintainability due to its implementation in Rust.
- Unit tests aiding error checking.
And most importantly, implied-vol
follows the original C++ implementations closely, maintaining the same output precision.
Community contributions are always welcome!
License
This project is licensed under the MIT license.