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Fang-Oosterlee Option Pricing for Rust

Implements Fang-Oosterlee option pricing in Rust. Documentation is at docs.rs

Use

Put the following in your Cargo.toml:

[dependencies]
fang_oost_option = "0.27"

Import and use:

extern crate num_complex;
use num_complex::Complex;
extern crate fang_oost_option;
use fang_oost_option::option_pricing;
let num_u:usize = 256;
let asset = 50.0;
let strikes = vec![5000.0, 75.0, 50.0, 40.0, 0.03];
let rate = 0.03;
let t_maturity = 0.5;
let volatility:f64 = 0.3; 
//As an example, cf is standard diffusion
let cf = |u: &Complex<f64>| {
    ((rate-volatility*volatility*0.5)*t_maturity*u+volatility*volatility*t_maturity*u*u*0.5).exp()
};
let prices = option_pricing::fang_oost_call_price(
    num_u, asset, &strikes, 
    rate, t_maturity, &cf
);

Speed

The benchmarks are comparable to my C++ implementation. To run the tests with benchmarking, use cargo bench.