Crate derivative_pricer

Expand description

#Introduction

This library provides tools for pricing derivative secureties in a Black-Scholes setting.

§Features

Black Scholes pricing formulas for european call and put options, digital call and put options, forward price of a stock, and zero coupon bonds.
Monte-Carlo pricer for vanilla options.
Monte-Carlo pricer for exotic options.
Formulas for the greeks.

formulas: Provides Black-Scholes formulas for various securities and greeks. Provides Black-Scholes formulas for european call and put options, digital call and put options, forward prices and zero coupon bonds, and greeks of call and put options.
monte_carlo_pricer: Provides Monte Carlo pricers for various types of derivative options. Currently implements a Monte Carlo pricer only for vanilla options
option: Provides struct representing derivative options.
random_number_generator: Implements a random number generator for use in the Monte Carlo simulations. A different random number generator can be implemented using the RandomNumberGeneratorTrait if requiered.
raw_formulas: Provides Black-Scholes formulas for various securities and greeks, with inputs being f64. Provides Black-Scholes formulas for european call and put options, digital call and put options, forward prices, zero coupon bonds, and the greeks of put and call options.
statistics_gatherer: Provides an interface for statistics gatherers for collecting results of Monte Carlo simulations.
stock: Implements a struct representing a stock.
utils: Provides various utilities.