financial-calc

Financial calculation functions built on precision-core.

Features

• Interest calculations (simple, compound, effective annual rate)
• Time value of money (future value, present value, NPV)
• Black-Scholes options pricing with Greeks
• Percentage operations
• no_std compatible
• Deterministic results

Installation

[dependencies]
financial-calc = "0.1"

Quick Start

use financial_calc::{compound_interest, future_value, Decimal};

let principal = Decimal::from(10000i64);
let rate = Decimal::new(5, 2);  // 5%

// Compound interest: monthly for 5 years
let interest = compound_interest(principal, rate, 12, 5)?;

// Future value
let fv = future_value(principal, rate, 10)?;

Options Pricing

use financial_calc::options::{OptionParams, OptionType, black_scholes_price, calculate_greeks};
use precision_core::Decimal;

let params = OptionParams {
    spot: Decimal::from(100i64),
    strike: Decimal::from(100i64),
    rate: Decimal::new(5, 2),         // 5% risk-free rate
    volatility: Decimal::new(20, 2),  // 20% volatility
    time: Decimal::new(25, 2),        // 0.25 years (3 months)
};

// Calculate option price
let call_price = black_scholes_price(&params, OptionType::Call)?;
let put_price = black_scholes_price(&params, OptionType::Put)?;

// Calculate Greeks
let greeks = calculate_greeks(&params, OptionType::Call)?;
println!("Delta: {}", greeks.delta);
println!("Gamma: {}", greeks.gamma);
println!("Theta: {}", greeks.theta);
println!("Vega: {}", greeks.vega);

Functions

Interest

• simple_interest(principal, rate, time)
• compound_interest(principal, rate, periods_per_year, years)
• effective_annual_rate(nominal_rate, periods)

Time Value

• future_value(present_value, rate, periods)
• present_value(future_value, rate, periods)
• net_present_value(rate, cash_flows)

Options (Black-Scholes)

• black_scholes_price(params, option_type) - Call/Put price
• calculate_greeks(params, option_type) - Delta, Gamma, Theta, Vega, Rho
• implied_volatility(params, market_price, option_type) - Newton-Raphson IV solver

Percentages

• percentage_of(value, percent)
• percentage_change(old, new)
• basis_points_to_decimal(bps)

License

Licensed under either of Apache License, Version 2.0 or MIT license at your option.