implied-vol 2.0.0

A pure rust implementation of Peter Jäckel's implied volatility calculation
Documentation 
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19

#[cfg(feature = "cxx_bench")]
#[cxx::bridge]
pub mod ffi {
    unsafe extern "C++" {
        include!("lets_be_rational.h");

        #[must_use]
        pub fn ImpliedBlackVolatility(price: f64, F: f64, K: f64, T: f64, q: f64) -> f64;
        #[must_use]
        pub fn Black(F: f64, K: f64, sigma: f64, T: f64, q: f64) -> f64;

        include!("ImpliedNormalVolatility.cpp");

        #[must_use]
        pub fn ImpliedNormalVolatility(price: f64, F: f64, K: f64, T: f64, q: f64) -> f64;
        #[must_use]
        pub fn Bachelier(F: f64, K: f64, sigma: f64, T: f64, q: f64) -> f64;
    }
}