Crate quant_opts 

High-performance Black–Scholes–Merton primitives for pricing European vanilla options, computing Greeks, and implied volatility.

Quick start

use quant_opts::{BlackScholes, MarketData, OptionStyle, OptionType, VanillaModel, VanillaOption};

// Define an option and market snapshot
let option = VanillaOption::new(OptionStyle::European, OptionType::Call, 100.0, 30.0 / 365.25);
let market = MarketData::new(105.0, 0.03, 0.01);
let sigma = 0.22;

// Static API
let price = BlackScholes::price(&option, &market, sigma).unwrap();
let greeks = BlackScholes::greeks(&option, &market, sigma).unwrap();

// Trait-based API
let model = BlackScholes::new(sigma);
let price_via_trait = model.price(&option, &market).unwrap();
assert!((price - price_via_trait).abs() < 1e-12);

More runnable examples live under examples/:

• cargo run --example pricing_and_greeks
• cargo run --example implied_vol

Benchmark commands are documented in README.md and docs/BENCHMARKING.md.

Re-exports

pub use core::MarketData;

pub use core::OptionStyle;

pub use core::OptionType;

pub use core::VanillaOption;

pub use models::VanillaModel;

pub use models::black_scholes::BlackScholes;

Modules

core

Core domain types for quant-opts.

lets_be_rational

models

Pricing models available in quant-opts.