optionrs 0.1.0

A high-performance option pricing library for Rust, supporting Black-Scholes, binomial tree, Monte Carlo simulation, PDE and exotic options (European/American/Barrier).
Documentation

optionrs

A high-performance, production-grade option pricing library for Rust, supporting classic pricing models (Black-Scholes, Binomial Tree, Monte Carlo, PDE numerical calculation) and exotic options (barrier, Asian, forward-start,etc).

Crates.io Docs.rs License: MIT/Apache-2.0 CI

Features

  • Core Pricing Models:
    • Black-Scholes (European calls/puts, Greeks, implied volatility)
    • Binomial Tree (European/American options, Delta/Gamma)
    • Monte Carlo Simulation (European/exotic options, path-dependent pricing)
  • Exotic Options: Barrier, Asian (discrete geometric average), forward-start options
  • Numerical Stability: Robust boundary condition handling (T=0, sigma=0)
  • Type Safety: Clear, documented APIs with financial semantics
  • Test Coverage: Full unit/integration/doc tests, validated against classic financial benchmarks

Installation

Add this to your Cargo.toml:

[dependencies]

assert_approx_eq = "1.1.0"

owens-t = "0.1.5"

rand = "0.9.2"

rand_distr = "0.5.1"

rayon = "1.11.0"

statrs = "0.18.0"

Module Catalog

optionpricing/          # crate 根目录
├── Cargo.toml          # 依赖/配置文件
├── README.md           # 核心说明文档（必须放这里）
├── src/                # 源码目录
│   ├── lib.rs
│   │   ├──
│   ├── black_scholes/mod.rs
│   └── ...
└── tests/              # 集成测试目录
    └── pricing_consistency.rs