greeks

This project is a simple implementation of options pricing and greeks for Rust.

Goals:

• Be fast
• Be accurrate
• Not have any external dependencies.

Supported Calculations

Greeks

First Order

• Delta
• Rho
• Theta
• Vega

Second Order

• Gamma

Pricing

• European call option
• European put option

Valution

• Call option at expiry
• Put option at expiry