Crate regit_blackscholes 

Zero-dependency Black-Scholes options pricing engine in pure Rust.

Covers four European pricing models — Black-Scholes-Merton, Black-76, Bachelier, and Displaced Diffusion — with all 17 analytic Greeks through 3rd order and a multi-strategy implied volatility solver.

Designed for auditability: every algorithm is hand-rolled from primary paper sources with no external math dependencies. A regulator, quant auditor, or new engineer can trace every number to a citable formula.

Models

• models::black_scholes — Vanilla European, continuous dividend (Merton 1973)
• models::black76 — Futures/forwards (Black 1976)
• models::bachelier — Normal model for rates near/below zero
• models::displaced — Shifted log-normal (Rubinstein 1983)

Architecture

types/errors → math primitives (ncdf, npdf) → pricing models
                                             → greeks (analytic, 17 total)
                                             → implied volatility (solver chain)

Part of Regit OS — the operating system for investment products. From Luxembourg.

Re-exports

pub use errors::IvError;

pub use errors::PricingError;

pub use iv::IvSolver;

pub use models::bachelier::BachelierParams;

pub use models::black76::Black76Params;

pub use models::displaced::DisplacedParams;

pub use types::Float;

pub use types::Greeks;

pub use types::GreeksCalc;

pub use types::ImpliedVol;

pub use types::Model;

pub use types::OptionParams;

pub use types::OptionType;

pub use types::Pricing;

Modules

errors

Typed error enums for pricing and implied volatility operations.

greeks

Analytic Greeks — all 17, through 3rd order.

iv

Implied volatility solver — multi-strategy chain.

math

Mathematical primitives: normal CDF, normal PDF, Horner evaluation, d1/d2.

models

Pricing models for European options.

types

Core types for option parameterisation and pricing output.