Crate blackscholes

blackscholes

This library provides an simple, lightweight, and efficient (though not heavily optimized) implementation of the Black-Scholes-Merton model for pricing European options.

Provides methods for pricing options, calculating implied volatility, and calculating the first, second, and third order Greeks.

Example:

use blackscholes::{Inputs, OptionType, Pricing};
let inputs = Inputs::new(OptionType::Call, 100.0, 100.0, None, 0.05, 0.2, 20.0/365.25, Some(0.2));
let price: f32 = inputs.calc_price().unwrap();

See the Github Repo for full source code. Other implementations such as a npm WASM package and a python module are also available.

Re-exports

pub use greeks::Greeks;

pub use implied_volatility::ImpliedVolatility;

pub use pricing::Pricing;

Modules

greeks

implied_volatility

pricing

Structs

Inputs

The inputs to the Black-Scholes-Merton model.

Enums

OptionType

The type of option to be priced (call or put).