greeks
This project is a simple implementation of options pricing and greeks for Rust.
Goals:
- Be fast
- Be accurrate
- Not have any external dependencies.
Supported Calculations
Greeks
First Order
- Delta
- Rho
- Theta
- Vega
Second Order
- Gamma
Pricing
- European call option
- European put option
Valution
- Call option at expiry
- Put option at expiry