binomial_tree
| Crates.io | binomial_tree |
| lib.rs | binomial_tree |
| version | 0.5.0 |
| created_at | 2018-08-16 11:29:35.687155+00 |
| updated_at | 2022-02-05 15:01:06.618077+00 |
| description | A generic binomial pricing tree for options |
| homepage | https://github.com/danielhstahl/binomial_tree_rust |
| repository | https://github.com/danielhstahl/binomial_tree_rust |
| max_upload_size | |
| id | 79736 |
| size | 19,789 |
Daniel Stahl (phillyfan1138)
documentation
README
| Linux | Codecov |
|---|---|
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Binomial Tree Option Calculator
This is a very generic binomial tree calculator. The calculator can be used to price American and European style options for any payoff and any single dimensional SDE of the form dS=alpha(S, t)dt+sigma(S, t)dW_t.
Requires 4 functions:
- The ratio of drift over volatility: (alpha(S, t)/sigma(S, t))
- The derivative of sigma with respect to the underlying: sigma'(S, t)
- The discount factor
- The payoff function
To demonstrate the flexibility, the tests compute the Black Scholes model price and a bond price under a CIR process.
Speed
This library takes roughly .4 seconds compared to .7 seconds for my C++ library for a 5000 step European call option. Benchmarks at https://danielhstahl.github.io/binomial_tree_rust/report/index.html.