jetblack-options 0.2.1

Functions for calculating option values and sensitivities, both analytically and using and finite difference methods.

Coverage
60%
42 out of 70 items documented0 out of 24 items with examples
Size
Source code size: 867.2 kB This is the summed size of all the files inside the crates.io package for this release.
Documentation size: 124.9 MB This is the summed size of all files generated by rustdoc for all configured targets
Ø build duration
this release: 33s Average build duration of successful builds.
all releases: 26s Average build duration of successful builds in releases after 2024-10-23.
Links
Homepage
rob-blackbourn/jetblack-options-rust
0 0 0
crates.io
Dependencies
- libm ^0.2.15 normal
Versions
Owners

jetblack-options-rust

A rust library for option calculations.

Status

This is work in progress.

Overview

This library provides two things:

Valuation functions for options and other volatility products
A bumping framework to calculate sensitivities from prices

Coverage

European

Black 76
Black-Scholes 73
Black-Scholes-Merton
Garman Kohlhagen
Generalize Black-Scholes

American

Barone, Adesi and Whaley (1987)
Bjerksund and Stensland (1993)
Bjerksund and Stensland (2002)

Trees

Cox, Ross & Rubinstein
European Binomial
Jarrow-Rudd
Leisen Reimer
Trinomial

Bumping (Finite Difference Methods)

With Carry
Without Carry
With Dividend Yield