Linux | Codecov |
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Fang-Oosterlee Option Pricing for Rust
Implements Fang-Oosterlee option pricing in Rust
Speed
The benchmarks are comparable to my C++ implementation. The tests ran in 8 to 50 milliseconds in rust compared to 17-49 milliseconds in C++. To run the tests with benchmarking, use cargo test --release -- --nocapture
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