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

Examples

Some calculations with Black-Scholes-Merton.

use jetblack_options::european::BlackScholesMerton;
use jetblack_options::fdm::DifferenceMethod;

#[allow(non_snake_case)]
fn main() {
    // The optional calculator inputs.
    let is_call = true; // It's a call.
    let S = 100.0; // The stock price is 100.
    let K = 101.0; // The strike price is 101.
    let t = 30.0 / 365.0; // The time to expiry is in years (30 days).
    let r = 3.0 / 100.0; // The risk free rate is 3%.
    let q = 6.0 / 100.0; // The dividend yield is 6%.
    let v = 15.0 / 100.0; // The volatility is 15%.

    // Price the option.
    let p = BlackScholesMerton::price(is_call, S, K, t, r, q, v);
    println!("The price is {}", p);

    // The analytic delta
    let d = BlackScholesMerton::delta(is_call, S, K, t, r, q, v);
    println!("The delta is {}", d);

    // The delta using finite difference methods..
    let bumper = BlackScholesMerton::fdm_greeks(is_call);
    let d1 = bumper.delta(S, K, t, r, q, v, 0.0001, DifferenceMethod::Central);
    println!("The bumped delta is {}", d1);

    // The analytic theta should predict tomorrows price.
    let t = BlackScholesMerton::theta(is_call, S, K, t, r, q, v);
    println!("The theta is {} (29 day price is {}", t, p + t/365.0);

    let T1 = 29.0 / 365.0; // The time to expiry in years (29 days).
    let p1 = BlackScholesMerton::price(is_call, S, K, T1, r, q, v);
    println!("The price at 29 days is {}", p1);
}