Expand description
Option pricers and sensitivity functions.
Re-exports§
pub use asian::*;pub use option_models::*;pub use barrier::*;pub use binary::*;pub use black_scholes_merton::*;pub use implied_volatility::*;pub use lookback::*;pub use option_contract::*;pub use power::*;pub use option_flags::*;pub use vanilla::*;pub use supershare::*;pub use log::*;
Modules§
- asian
- Asian option pricers.
- barrier
- Barrier option pricers.
- binary
- Binary option pricers.
- black_
scholes_ merton - Generalised Black-Scholes-Merton option pricer. The generalised Black-Scholes-Merton European Option pricing model.
- finite_
difference_ pricer - Finite Difference Pricer
- implied_
volatility - Implied volatility functions. Let’s Be Rational rust implementation based on py_lets_be_rational and paper Let’s Be Rational by Peter Jaeckel with some modifications. If price is below intrinsic value, it returns -INF. If price is above intrinsic value, it returns INF.
- log
- Log contracts and options.
- lookback
- Lookback option pricers.
- option_
contract - Base option traits.
- option_
flags - Option flags.
- option_
models - Option models.
- power
- Power options and contracts.
- supershare
- Supershare options.
- vanilla
- Vanilla option.