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
17
18
19

//! Option calculators using tree methods

mod greeks;
pub use greeks::Greeks;

mod cox_ross_rubinstein;
pub use cox_ross_rubinstein::CoxRossRubinstein;

mod european_binomial;
pub use european_binomial::EuropeanBinomial;

mod jarrow_rudd;
pub use jarrow_rudd::JarrowRudd;

mod leisen_reimer;
pub use leisen_reimer::LeisenReimer;

mod trinomial;
pub use trinomial::Trinomial;