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Module blackscholes

rustyqlib::equity

Module blackscholes 

Source

Structs§

BlackScholesPricer

Functions§

bs_price
Black-Scholes price of a European vanilla as a pure function of its inputs (no option object needed).
bs_vega
Black-Scholes vega as a pure function (per unit of vol).
implied_vol_from_price
Implied Black-Scholes volatility for a European vanilla price.
implied_volatility
option_pricing