# greeks

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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