blackscholes
This library provides an simple, lightweight, and efficient (though not heavily optimized) implementation of the Black-Scholes-Merton model for pricing European options.
Includes all first, second, and third order Greeks.
Usage
Simply create an instance of the Inputs struct and call the desired method.
View the docs for usage and examples.
TODO
- Finish doc tests
- Finish unit tests
- Add all second order greeks
- Add all third order greeks
- Add proper error handling rather than panicking
- Add Black76