jetblack-options 0.4.0

Functions for calculating option values and sensitivities, both analytically and using and finite difference methods.
Documentation 
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16

//! Finite difference methods
//!
//! This modules contains several implementations of
//! finite difference method calculators.

mod constants;
pub use constants::DifferenceMethod;

mod with_carry;
pub use with_carry::FdmWithCarry;

mod with_dividend_yield;
pub use with_dividend_yield::FdmWithDividendYield;

mod without_carry;
pub use without_carry::FdmWithoutCarry;