quant-opts

quant-opts (0.1.0)

A high-performance Rust library for option pricing and risk, starting from a fast Black–Scholes–Merton implementation and evolving towards a more general framework (e.g. SABR and other models).

The current codebase is focused on Black–Scholes for European vanilla options. Over time, quant-opts will extend this to a broader set of models and instruments while keeping the API ergonomic and performance-oriented.

Current scope

• Black–Scholes–Merton model
• European vanilla options (calls and puts) expressed via core types (VanillaOption, MarketData, OptionStyle, OptionType)
• Pricing and Greeks for vanilla options
• Implied-volatility solvers (including a rational approximation based on Peter Jäckel’s “Let’s Be Rational” method)
• Batch-friendly API and Criterion benchmarks for throughput studies

Roadmap (high level)

• Additional models such as SABR and other stochastic-volatility / local-volatility models
• Extended product coverage beyond plain-vanilla options
• Unified abstractions for models, products, and numerical methods
• First-class batch / vectorized pricing workflows

Core Rust API

The primary way to use quant-opts today is via the core types and the Black–Scholes model:

use quant_opts::{
    BlackScholes, MarketData, OptionStyle, OptionType, VanillaModel, VanillaOption,
};

let option = VanillaOption::new(
    OptionStyle::European,
    OptionType::Call,
    100.0,             // strike
    20.0 / 365.25,     // time to maturity (years)
);

let market = MarketData::new(
    100.0,  // spot
    0.05,   // risk-free rate
    0.01,   // dividend yield
);

// Direct static API with explicit volatility
let price = BlackScholes::price(&option, &market, 0.2)?;

// Or via the generic `VanillaModel` trait
let model = BlackScholes::new(0.2);
let price_via_trait = model.price(&option, &market)?;

Error handling uses Result<_, String> to propagate issues such as non-finite volatility or zero time to maturity.

Optional wrappers feature

For FFI and quick scripting use cases, you can enable the wrappers feature to get simple function-style helpers:

[dependencies]
quant-opts = { version = "0.1.0", features = ["wrappers"] }

use quant_opts::{wrappers, OptionType};

let price = wrappers::price_eur_vanilla_bs(
    OptionType::Call,
    100.0,           // spot
    110.0,           // strike
    20.0 / 365.25,   // maturity (years)
    0.05,            // risk-free rate
    0.05,            // dividend yield
    0.2,             // volatility
)?;

Language bindings

Rust is the primary API, but the library is being designed with FFI in mind. Planned bindings include:

• Python
• WebAssembly (WASM)
• Other FFI targets where low-latency option pricing is needed

These bindings are part of the roadmap and will be added as the core library stabilizes.

Performance

This library is written with performance in mind, both for single-option pricing and large batch workloads. The repository already includes Criterion-based benchmarks and throughput studies.

Up-to-date baseline numbers for pricing, Greeks and implied volatility are documented in docs/baseline.md. The CI and benchmarking setup is described in docs/BENCHMARKING.md.

Benchmark commands (no default features)

• Micro pricing: cargo bench --no-default-features --bench pricing
• Micro IV: cargo bench --no-default-features --bench implied_volatility
• Micro Greeks: cargo bench --no-default-features --bench greeks
• Single option sweeps: cargo bench --no-default-features --bench single_option
• Single IV sweeps: cargo bench --no-default-features --bench single_iv
• Single Greeks sweeps: cargo bench --no-default-features --bench single_greeks
• Batch pricing: cargo bench --no-default-features --bench batch_pricing
• Batch Greeks: cargo bench --no-default-features --bench batch_greeks
• Throughput: cargo bench --no-default-features --bench throughput
• Scaling study: cargo bench --no-default-features --bench scaling
• Batch size study: cargo bench --no-default-features --bench batch_size_study

Examples

Run the included examples with:

• Pricing and Greeks: cargo run --example pricing_and_greeks
• Implied volatility (rational solver): cargo run --example implied_vol
• WASM bindings demo: install the target (rustup target add wasm32-unknown-unknown) and wasm-bindgen-cli, then build with --features wasm-example --target wasm32-unknown-unknown --example wasm_api; run wasm-bindgen --target web --out-dir examples/wasm/pkg target/wasm32-unknown-unknown/debug/examples/wasm_api.wasm and open examples/wasm/index.html via a local server. See examples/wasm/README.md.
• WASM CLI (WASI): rustup target add wasm32-wasip1 then cargo build --target wasm32-wasip1 --example wasm_cli; run with wasmtime target/wasm32-wasip1/debug/examples/wasm_cli.wasm price --spot ... (see examples/wasm/README.md).

Make targets for wasm bindings (requires wasm-pack):

• make wasm-bindings → builds web (target/wasm/pkg-web) and bundler (target/wasm/pkg-react) bindings

Origin and credits

This project started as a fork of the excellent blackscholes crate by Hayden Rose. Many thanks for the original implementation and design. The goal of quant-opts is to build on that foundation, extending model coverage and abstractions while preserving and further improving performance.

Metadata

• Edition: 2024
• MSRV: 1.91.1 (Rust toolchain pinned in rust-toolchain.toml)
• License: MIT (see LICENSE.md)
• Changelog: see CHANGELOG.md