| [Linux][lin-link] |  [Codecov][cov-link]  |
| :---------------: | :-------------------: |
| ![lin-badge]      | ![cov-badge]          |

[lin-badge]: https://travis-ci.org/phillyfan1138/carr_madan_rust.svg?branch=master "Travis build status"
[lin-link]:  https://travis-ci.org/phillyfan1138/carr_madan_rust "Travis build status"
[cov-badge]: https://codecov.io/gh/phillyfan1138/carr_madan_rust/branch/master/graph/badge.svg
[cov-link]:  https://codecov.io/gh/phillyfan1138/carr_madan_rust

# Carr-Madan

This is a rust implementation of Carr Madan's FFT option pricing methodology.

# Benchmarks

https://phillyfan1138.github.io/carr_madan_rust/report