RustyQLib 0.0.2

RustyQLib is a lightweight yet robust quantitative finance library designed to price derivatives and perform risk analysis
Documentation 
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{
  "asset": "EQ",
  "contracts": [
    {
      "action": "PV",
      "asset": "EQ",
      "product_type": {
        "product_type": "option",
        "symbol": "ATHENA-LV",
        "underlying_price": 100.0,
        "put_or_call": "C",
        "payoff_type": "autocallable",
        "autocall_barrier": 100.0,
        "protection_barrier": 70.0,
        "autocall_coupon": 6.0,
        "autocall_observations": 4,
        "notional": 100.0,
        "maturity": "2027-07-18",
        "dividend": 0.02,
        "risk_free_rate": 0.05,
        "simulation": 100000,
        "mc_model": "local_vol",
        "pricer": "MC",
        "vol_surface": {
          "type": "strike_expiry",
          "expiries": [0.25, 0.5, 1.0],
          "strikes": [60.0, 70.0, 85.0, 100.0, 115.0, 130.0],
          "vols": [
            [0.42, 0.38, 0.33, 0.29, 0.27, 0.26],
            [0.41, 0.37, 0.33, 0.30, 0.28, 0.27],
            [0.40, 0.37, 0.33, 0.30, 0.29, 0.28]
          ],
          "day_count": "Act365"
        }
      }
    },
    {
      "action": "PV",
      "asset": "EQ",
      "product_type": {
        "product_type": "option",
        "symbol": "ATHENA-GBM",
        "underlying_price": 100.0,
        "put_or_call": "C",
        "payoff_type": "autocallable",
        "autocall_barrier": 100.0,
        "protection_barrier": 70.0,
        "autocall_coupon": 6.0,
        "autocall_observations": 4,
        "notional": 100.0,
        "volatility": 0.3,
        "maturity": "2027-07-18",
        "dividend": 0.02,
        "risk_free_rate": 0.05,
        "simulation": 100000,
        "pricer": "MC"
      }
    }
  ]
}