sanos 0.2.1

SANOS: Smooth strictly Arbitrage-free Non-parametric Option Surfaces (Rust implementation)
Documentation
1
2
3
4
5
6
7
8
9
10
11
12
mod config;
mod factory;
mod policy;
mod strike_grid;

pub use config::{
    AtmRefineConfig, GridSizeConfig, LogMoneynessQuantilesGridConfig, MarketAnchoredGridConfig,
    StrikeGridPolicyConfig, WingsConfig,
};
pub use factory::{build_strike_grids, build_strike_grids_with_variances};
pub use policy::{LogMoneynessQuantiles, MarketAnchored, StrikeGridPolicy};
pub use strike_grid::StrikeGrid;