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:

1. Let's Be Rational: This work presents an approach to deduce Black’s volatility from option prices with high precision.

2. 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.