jaeckel 0.2.0

Rust port of Peter Jäckel's algorithms on http://www.jaeckel.org
Documentation
  • Coverage
  • 100%
    24 out of 24 items documented3 out of 3 items with examples
  • Size
  • Source code size: 104.57 kB This is the summed size of all the files inside the crates.io package for this release.
  • Documentation size: 2.9 MB This is the summed size of all files generated by rustdoc for all configured targets
  • Ø build duration
  • this release: 14s Average build duration of successful builds.
  • all releases: 14s Average build duration of successful builds in releases after 2024-10-23.
  • Links
  • yan-yangchun/jaeckel-rs
    1 0 0
  • crates.io
  • Dependencies
  • Versions
  • Owners
  • yan-yangchun

Jaeckel

A Rust port of Peter Jäckel's algorithms on http://www.jaeckel.org

Let's Be Rational

  • The Rust crate is based on the latest (2024) version of the C++ reference implementation
  • The conditionally compiled features in the C++ reference implementation are not included in this crate
  • The PJ-2024-Inverse-Normal algorithm is used to inverse the normal cumulative distribution funciton and the AS241 algorighm is omitted

Usage

use jaeckel::{black, implied_black_volatility};

// Calculate option price
let price = black(100.0, 200.0, 0.2, 1.0, 1.0);

// Calculate implied volatility
let implied_vol = implied_black_volatility(price, 100.0, 200.0, 1.0, 1.0);

License

Copyright © 2013-2023 Peter Jäckel.

Permission to use, copy, modify, and distribute this software is freely granted, provided that this notice is preserved.