Crate blackscholes
source ·Expand description
blackscholes
This library provides an simple, lightweight, and efficient (though not heavily optimized) implementation of the Black-Scholes-Merton model for pricing European options.
Usage
Simply create an instance of the Inputs struct and call the desired method.
This crate is generic over all floating point types (f32, f64)
Example:
use blackscholes::{Inputs, OptionType};
let inputs = Inputs::new(OptionType::Call, 100.0, 100.0, None, 0.05, 0.2, 20.0/365.25, Some(0.2));
let price: f64 = inputs.calc_price();See the Github Repo for full source code. Other implementations such as a npm WASM package and a python module are also available.
Structs
The inputs to the Black-Scholes-Merton model.
Enums
The type of option to be priced.
Traits
Trait alias for floats