[][src]Crate black_scholes_pricer


pub use bs::*;
pub use bs_single::*;



! # BSPricer ! Scalar and Vectorised version of: ! ! * Black scholes ! * Greeks
! * Binomial ! * Implied vol ! * Implied Interest rates ! * Strike from delta ! ! This library depends on the wide library which provides the crucial math functions exp/log/pow/cdf in vectorised versions. This makes the difference of over 50% ! compared to the serial versions of this function. ! ! Somewhat surprisingly on the (admittedly) small sample of PCs I've run it on with FMA/AVX instructions, the code generated is a touch faster than the equivalent with Intel's ISPC. That's probably due to instruction scheduling and cache differences. ! ! Compared to any other open source version of black scholes pricing I've found online, I believe this is the fastest CPU version. GPU versions can be faster depending on the circumstances ! ! On an i5 7300HQ I'm seeing 100,000,000 prices calculated per second. YMMV ! ! Compared to a serialised version of around 1800ms