[−][src]Module black_scholes_pricer::bs

! # 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

bs_call	Black Scholes call pricing. The results are at the same index as the inputs Years to expiry should be expressed as a f32 such as 20 days is 20/252 = 0.79 Risk free rate, volatility and dividend yield expressed as f32 with 1.0 = 100%. 0.2 = 20% etc
bs_put	Black Scholes put pricing for arrays. The results are at the same index as the inputs Years to expiry should be expressed as a f32 such as 20 days is 20/252 = 0.79 Risk free rate, volatility and dividend yield expressed as f32 with 1.0 = 100%. 0.2 = 20% etc
call_delta	Call delta Years to expiry should be expressed as a f32 such as 20 days is 20/252 = 0.79 Risk free rate, volatility and dividend yield expressed as f32 with 1.0 = 100%. 0.2 = 20% etc
call_greeks	Calculate all the greeks for put options in a single step This is more efficient than calculating the values individually, infact, if you need more than a two greeks it's faster to use this than the individual pricers However be aware the memory allocation cost for the results is the bottleneck and could slow things down if you do not have a large L1/L2 cache.
call_implied_interest_rate	Calculate implied interest rate from an call option price Years to expiry should be expressed as a f32 such as 20 days is 20/252 = 0.79 Risk free rate, volatility and dividend yield expressed as f32 with 1.0 = 100%. 0.2 = 20% etc Note this is an iterative calculation as there is no closed form solution. It exits when all the values in the array have reached a stable number
call_implied_vol	Calculate call implied vol from an option price Years to expiry should be expressed as a f32 such as 20 days is 20/252 = 0.79 Risk free rate, volatility and dividend yield expressed as f32 with 1.0 = 100%. 0.2 = 20% etc Note this is an iterative calculation as there is no closed form solution. It exits when all the values in the array have reached a stable number
call_rho	Call rho Years to expiry should be expressed as a f32 such as 20 days is 20/252 = 0.79 Risk free rate, volatility and dividend yield expressed as f32 with 1.0 = 100%. 0.2 = 20% etc
call_strike_from_delta	Calculate the call strike from delta value given
call_theta	Call Theta Years to expiry should be expressed as a f32 such as 20 days is 20/252 = 0.79 Risk free rate, volatility and dividend yield expressed as f32 with 1.0 = 100%. 0.2 = 20% etc
gamma	Gamma - is the same if call or put Years to expiry should be expressed as a f32 such as 20 days is 20/252 = 0.79 Risk free rate, volatility and dividend yield expressed as f32 with 1.0 = 100%. 0.2 = 20% etc
put_delta	Put delta Years to expiry should be expressed as a f32 such as 20 days is 20/252 = 0.79 Risk free rate, volatility and dividend yield expressed as f32 with 1.0 = 100%. 0.2 = 20% etc
put_greeks	Calculate all the greeks for put options in a single step This is more efficient than calculating the values individually, infact, if you need more than a two greeks it's faster to use this than the individual pricers However be aware the memory allocation cost for the results is the bottleneck and could slow things down if you do not have a large L1/L2 cache.
put_implied_interest_rate	Calculate implied interest rate from an put option price Years to expiry should be expressed as a f32 such as 20 days is 20/252 = 0.79 Risk free rate, volatility and dividend yield expressed as f32 with 1.0 = 100%. 0.2 = 20% etc Note this is an iterative calculation as there is no closed form solution. It exits when all the values in the array have reached a stable number
put_implied_vol	Calculate put implied vol from an option price Years to expiry should be expressed as a f32 such as 20 days is 20/252 = 0.79 Risk free rate, volatility and dividend yield expressed as f32 with 1.0 = 100%. 0.2 = 20% etc Note this is an iterative calculation as there is no closed form solution. It exits when all the values in the array have reached a stable number
put_rho	Put rho Years to expiry should be expressed as a f32 such as 20 days is 20/252 = 0.79 Risk free rate, volatility and dividend yield expressed as f32 with 1.0 = 100%. 0.2 = 20% etc
put_strike_from_delta	Calculate the call strike from delta value given
put_theta	Put Theta Years to expiry should be expressed as a f32 such as 20 days is 20/252 = 0.79 Risk free rate, volatility and dividend yield expressed as f32 with 1.0 = 100%. 0.2 = 20% etc The calculate for the put theta seems to have a number of different implementations. Bug fixes welcome
vega	Vega - is the same if call or put Years to expiry should be expressed as a f32 such as 20 days is 20/252 = 0.79 Risk free rate, volatility and dividend yield expressed as f32 with 1.0 = 100%. 0.2 = 20% etc

[−][src]Module black_scholes_pricer::bs

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