blackscholesrust

This is a simple Black Scholes option calculator written in rust. Documentation is on docs.rs.

breaking changes

The move from 0.4 to 0.5 results changed the IV api to return a Result<f64, f64> rather than an f64.

using blackscholesrust

Put the following in your Cargo.toml:

toml [dependencies] black_scholes = "0.5"

Import and use:

rust extern crate black_scholes; let stock = 5.0; let strike = 4.5; let discount = 0.99; let sigma = 0.3; let maturity:f64 = 2.0; let sqrt_maturity_sigma = sigma*maturity.sqrt(); let price = black_scholes::call_discount( stock, strike, discount, sqrt_maturity_sigma );

tests

Note that the greeks don't have direct tests. Please feel free to add tests. However, these formulas are essentially and extensively tested in the fang oost option library.