Modulesยง
- asian
- Analytic pricing of Asian (average) options.
- autocallable
- Autocallable notes (single underlying) with an autocall coupon (rebate) and knock-in capital protection.
- barrier
- Analytic pricing of continuously monitored barrier options (Reiner-Rubinstein 1991), all eight types: up/down x in/out x call/put, without rebate.
- binary_
option - binomial
- black76
- Black-76 (1976): European options on a future/forward price
F. - blackscholes
- build_
contracts - builder
- Ergonomic construction of
EquityOptionfrom Rust code. - equity_
forward - equity_
future - finite_
difference - Finite difference pricer for the backward pricing PDE in log-spot.
- forward_
start_ option - Forward-start options: the strike is fixed at a future date
t_fas a fractionkof the then-prevailing spot; the payoff at expiryTis(S_T - k * S_{t_f})^+(call) or the mirrored put. - handle_
equity_ contracts - heston
- Heston (1993) stochastic volatility model.
- local_
vol - Dupire local volatility calibrated from an implied vol surface.
- montecarlo
- Monte Carlo pricing engine.
- rainbow
- Rainbow (multi-asset) options: best-of, worst-of, spread, basket and exchange payoffs on n correlated lognormal assets.
- utils
- vanila_
option - vol_
surface - Implied volatility surface construction from quoted options.