fang_oost_option 0.21.5

A library implementing Fang and Oosterlee's algorithm for option pricing.
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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.

To run raw benchmark, checkout the benchmark branch and run cargo bench. Note that this only works with nightly (switch using rustup default nightly).