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": "variance_swap",
        "symbol": "VSWAP-FLAT",
        "underlying_price": 100.0,
        "strike_vol": 0.22,
        "notional": 1000000.0,
        "maturity": "2030-01-01",
        "risk_free_rate": 0.03,
        "dividend": 0.01,
        "volatility": 0.25
      }
    },
    {
      "action": "PV",
      "asset": "EQ",
      "product_type": {
        "product_type": "variance_swap",
        "symbol": "VSWAP-SEASONED",
        "underlying_price": 100.0,
        "strike_vol": 0.2,
        "notional": 1000000.0,
        "maturity": "2030-01-01",
        "risk_free_rate": 0.03,
        "volatility": 0.25,
        "elapsed": 0.5,
        "accrued_variance": 0.09
      }
    },
    {
      "action": "PV",
      "asset": "EQ",
      "product_type": {
        "product_type": "variance_swap",
        "symbol": "GSWAP",
        "underlying_price": 100.0,
        "strike_vol": 0.25,
        "notional": 1000000.0,
        "maturity": "2030-01-01",
        "risk_free_rate": 0.03,
        "dividend": 0.01,
        "volatility": 0.25,
        "swap_type": "gamma"
      }
    },
    {
      "action": "PV",
      "asset": "EQ",
      "product_type": {
        "product_type": "variance_swap",
        "symbol": "CSWAP-8/120",
        "underlying_price": 100.0,
        "strike_vol": 0.2,
        "notional": 1000000.0,
        "maturity": "2030-01-01",
        "risk_free_rate": 0.03,
        "volatility": 0.25,
        "swap_type": "corridor",
        "corridor_low": 80.0,
        "corridor_high": 120.0
      }
    }
  ]
}