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Fang-Oosterlee Option Pricing for Rust
Implements Fang-Oosterlee option pricing in Rust. Documentation is at docs.rs
Use
The crate is available on crates.io.
Import and use:
extern crate num_complex;
use Complex;
extern crate fang_oost_option;
use option_pricing;
let num_u:usize = 256;
let asset = 50.0;
let strikes = vec!;
// max_strike sets the domain of the empirical estimate.
// This should be large enough to capture the potential
// dynamics of the underlying, but not too large or accuracy
// will sacrificed. A good rule of thumb is to scale this
// in proportion to the volatility of the underlying. For
// example, if the underlying is 50.0 and has a (log)
// volatility of 0.3, then a good max strike would be
// exp(0.3*scale)*50.0. I tend to use scale=10, yielding
// in this example ~1004.
let max_strike = 1004.0;
let rate = 0.03;
let t_maturity = 0.5;
let volatility:f64 = 0.3;
//As an example, cf is standard diffusion
let cf = ;
let prices = fang_oost_call_price;
Speed
The benchmarks are comparable to my C++ implementation. To run the tests with benchmarking, use cargo bench
. You can see the benchmarks at https://danielhstahl.github.io/fang_oost_option_rust/report/index.html.