orderbook-rs 0.6.2

A high-performance, lock-free price level implementation for limit order books in Rust. This library provides the building blocks for creating efficient trading systems with support for multiple order types and concurrent access patterns.
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//! Implied volatility calculation from OrderBook data.
//!
//! This module provides functionality to calculate implied volatility (IV)
//! from option prices extracted from the order book using Black-Scholes
//! model inversion via Newton-Raphson numerical method.
//!
//! # Overview
//!
//! Implied Volatility (IV) is the option's "price" translated into different units.
//! The price of an option in USD and the IV in % are the same information in different units.
//!
//! # Price Extraction
//!
//! For a specific strike and expiry, the orderbook provides:
//! - Best bid (e.g., $4.50)
//! - Best ask (e.g., $4.70)
//!
//! The "market price" is typically the mid-price: `(bid + ask) / 2 = $4.60`
//!
//! # Black-Scholes Inversion
//!
//! Since there's no analytical solution to invert Black-Scholes, we use
//! Newton-Raphson root finding which converges quickly (3-5 iterations)
//! because vega (∂price/∂σ) is always positive.
//!
//! # Example
//!
//! ```ignore
//! use orderbook_rs::implied_volatility::{IVParams, OptionType, PriceSource};
//!
//! let params = IVParams {
//!     spot: 3000.0,
//!     strike: 3000.0,
//!     time_to_expiry: 30.0 / 365.0,
//!     risk_free_rate: 0.0,
//!     option_type: OptionType::Call,
//! };
//!
//! let result = book.implied_volatility(&params, PriceSource::MidPrice)?;
//! println!("IV: {:.2}%", result.iv * 100.0);
//! ```

mod black_scholes;
mod error;
mod integration;
mod solver;
mod types;

pub use black_scholes::BlackScholes;
pub use error::IVError;
pub use integration::IVConfig;
pub use solver::{SolverConfig, solve_iv, solve_iv_bisection};
pub use types::{IVParams, IVQuality, IVResult, OptionType, PriceSource};