implied-vol
| Crates.io | implied-vol |
| lib.rs | implied-vol |
| version | 0.2.1 |
| source | src |
| created_at | 2024-01-14 08:31:10.581613 |
| updated_at | 2024-01-16 10:15:27.285751 |
| description | A pure rust implementation of Peter Jäckel's implied volatility calculation |
| homepage | |
| repository | https://github.com/nakashima-hikaru/implied-vol |
| max_upload_size | |
| id | 1099284 |
| size | 69,808 |
hnakashima (nakashima-hikaru)
documentation
README
Implied Vol
More information about this crate can be found in the crate documentation.
About
implied-vol is a high-performance, pure Rust implementation of Peter Jäckel's implied volatility calculations. This
library serves as a robust Rust reimplementation of the methodologies presented in Jäckel's works.
Source Works
Our library follows the methods presented in two pivotal papers by Peter Jäckel:
-
Let's Be Rational: This work presents an approach to deduce Black’s volatility from option prices with high precision.
-
Implied Normal Volatility: Here, Jäckel provides an analytical formula to calculate implied normal volatility (also known as Bachelier volatility) from vanilla option prices.
Both resources can be accessed at Peter Jäckel's homepage.
Features
implied-vol gains the benefits of being implemented in Rust, such as cross-compilation with Cargo and powerful static
analysis using Clippy lint. This library stands out by offering:
- Rapid, precise calculations of both implied Black volatility and normal (Bachelier) implied volatility.
- Exceptional testability and maintainability due to its implementation in Rust.
- Unit tests aiding error checking.
And most importantly, implied-vol follows the original C++ implementations closely, maintaining the same output precision.
Community contributions are always welcome!
License
This project is licensed under the MIT license.