RustyQLib 0.0.3

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": "rainbow_option",
        "symbol": "WORST2",
        "rainbow_type": "worst_of",
        "put_or_call": "C",
        "assets": [
          { "symbol": "AAA", "spot": 100.0, "volatility": 0.30, "dividend": 0.02 },
          { "symbol": "BBB", "spot": 95.0, "volatility": 0.25, "dividend": 0.01 }
        ],
        "correlations": [[1.0, 0.6], [0.6, 1.0]],
        "strike_price": 95.0,
        "maturity": "2027-07-18",
        "risk_free_rate": 0.05,
        "simulation": 100000,
        "pricer": "MC"
      }
    },
    {
      "action": "PV",
      "asset": "EQ",
      "product_type": {
        "product_type": "rainbow_option",
        "symbol": "XCHG",
        "rainbow_type": "exchange",
        "assets": [
          { "symbol": "AAA", "spot": 100.0, "volatility": 0.30, "dividend": 0.02 },
          { "symbol": "BBB", "spot": 95.0, "volatility": 0.25, "dividend": 0.01 }
        ],
        "correlations": [[1.0, 0.6], [0.6, 1.0]],
        "maturity": "2027-07-18",
        "risk_free_rate": 0.05,
        "pricer": "Analytical"
      }
    },
    {
      "action": "PV",
      "asset": "EQ",
      "product_type": {
        "product_type": "rainbow_option",
        "symbol": "SPRD",
        "rainbow_type": "spread",
        "put_or_call": "C",
        "assets": [
          { "symbol": "AAA", "spot": 100.0, "volatility": 0.30, "dividend": 0.02 },
          { "symbol": "BBB", "spot": 95.0, "volatility": 0.25, "dividend": 0.01 }
        ],
        "correlations": [[1.0, 0.6], [0.6, 1.0]],
        "strike_price": 5.0,
        "maturity": "2027-07-18",
        "risk_free_rate": 0.05,
        "pricer": "Analytical"
      }
    },
    {
      "action": "PV",
      "asset": "EQ",
      "product_type": {
        "product_type": "rainbow_option",
        "symbol": "BSKT3",
        "rainbow_type": "basket",
        "put_or_call": "C",
        "assets": [
          { "symbol": "AAA", "spot": 100.0, "volatility": 0.30 },
          { "symbol": "BBB", "spot": 90.0, "volatility": 0.25 },
          { "symbol": "CCC", "spot": 110.0, "volatility": 0.35 }
        ],
        "correlations": [[1.0, 0.5, 0.3], [0.5, 1.0, 0.4], [0.3, 0.4, 1.0]],
        "weights": [0.4, 0.3, 0.3],
        "strike_price": 100.0,
        "maturity": "2027-07-18",
        "risk_free_rate": 0.05,
        "pricer": "Analytical"
      }
    }
  ]
}