jaeckel
| Crates.io | jaeckel |
| lib.rs | jaeckel |
| version | 0.2.0 |
| created_at | 2025-08-03 13:11:07.651816+00 |
| updated_at | 2025-08-16 14:49:26.051953+00 |
| description | Rust port of Peter Jäckel's algorithms on http://www.jaeckel.org |
| homepage | |
| repository | https://github.com/yan-yangchun/jaeckel-rs |
| max_upload_size | |
| id | 1779697 |
| size | 104,571 |
(yan-yangchun)
documentation
README
Jaeckel
A Rust port of Peter Jäckel's algorithms on http://www.jaeckel.org
Let's Be Rational
- The Rust crate is based on the latest (2024) version of the C++ reference implementation
- The conditionally compiled features in the C++ reference implementation are not included in this crate
- The PJ-2024-Inverse-Normal algorithm is used to inverse the normal cumulative distribution funciton and the AS241 algorighm is omitted
Usage
use jaeckel::{black, implied_black_volatility};
// Calculate option price
let price = black(100.0, 200.0, 0.2, 1.0, 1.0);
// Calculate implied volatility
let implied_vol = implied_black_volatility(price, 100.0, 200.0, 1.0, 1.0);
License
Copyright © 2013-2023 Peter Jäckel.
Permission to use, copy, modify, and distribute this software is freely granted, provided that this notice is preserved.