RustyQLib 0.0.3

RustyQLib is a lightweight yet robust quantitative finance library designed to price derivatives and perform risk analysis
Documentation 
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77

{
  "asset": "EQ",
  "contracts": [
    {
      "action": "PV",
      "asset": "EQ",
      "product_type": {
        "product_type": "option",
        "symbol": "ABC",
        "underlying_price": 100.0,
        "put_or_call": "C",
        "payoff_type": "binary",
        "strike_price": 100.0,
        "volatility": 0.4,
        "maturity": "2027-12-31",
        "dividend": 0.01,
        "risk_free_rate": 0.06,
        "pricer": "Analytical"
      }
    },
    {
      "action": "PV",
      "asset": "EQ",
      "product_type": {
        "product_type": "option",
        "symbol": "ABC",
        "underlying_price": 100.0,
        "put_or_call": "C",
        "payoff_type": "binary",
        "strike_price": 105.0,
        "volatility": 0.45,
        "maturity": "2027-12-31",
        "dividend": 0.01,
        "risk_free_rate": 0.06,
        "simulation": 100000,
        "pricer": "MonteCarlo"
      }
    },
    {
      "action": "PV",
      "asset": "EQ",
      "product_type": {
        "product_type": "option",
        "symbol": "ABC",
        "underlying_price": 100.0,
        "put_or_call": "P",
        "payoff_type": "binary",
        "binary_type": "cash",
        "cash_amount": 1000.0,
        "strike_price": 95.0,
        "volatility": 0.4,
        "maturity": "2027-12-31",
        "dividend": 0.01,
        "risk_free_rate": 0.06,
        "pricer": "FD"
      }
    },
    {
      "action": "PV",
      "asset": "EQ",
      "product_type": {
        "product_type": "option",
        "symbol": "ABC",
        "underlying_price": 100.0,
        "put_or_call": "C",
        "payoff_type": "binary",
        "binary_type": "asset",
        "strike_price": 100.0,
        "volatility": 0.4,
        "maturity": "2027-12-31",
        "dividend": 0.01,
        "risk_free_rate": 0.06,
        "pricer": "Analytical"
      }
    }
  ]
}