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black_scholes_rust

This is a simple Black Scholes option calculator written in rust. Documentation is on docs.rs.

breaking changes

The move from 0.4 to 0.5 results changed the IV api to return a Result<f64, f64> rather than an f64.

using black_scholes_rust

Put the following in your Cargo.toml:

[dependencies]
black_scholes = "0.5"

Import and use:

extern crate black_scholes;
let stock = 5.0;
let strike = 4.5;
let discount = 0.99;
let sigma = 0.3;
let maturity:f64 = 2.0;
let sqrt_maturity_sigma = sigma*maturity.sqrt();
let price = black_scholes::call_discount(
    stock, strike, discount, 
    sqrt_maturity_sigma
);

tests

Note that the greeks don't have direct tests. Please feel free to add tests. However, these formulas are essentially and extensively tested in the fang oost option library.