greeks
| Crates.io | greeks |
| lib.rs | greeks |
| version | 0.5.0 |
| created_at | 2017-03-16 01:24:53.250206+00 |
| updated_at | 2017-03-24 01:29:46.811768+00 |
| description | Implementation of library to calculate options greeks |
| homepage | |
| repository | https://github.com/wateryan/greeks |
| max_upload_size | |
| id | 8993 |
| size | 24,115 |
Ryan (wateryan)
documentation
README
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