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black_scholes_rust

这是一个用rust编写的简单的Black Scholes期权计算器。文档在 docs.rs 上。

重大变更

从0.4到0.5的迁移将IV api的结果从返回一个 Result<f64, f64> 改变为返回一个 f64。

使用black_scholes_rust

将以下内容放入你的Cargo.toml

[dependencies]
black_scholes = "0.10.1"

导入和使用

extern crate black_scholes;
let stock = 5.0;
let strike = 4.5;
let rate = 0.01;
let discount = 0.99;
let sigma = 0.3;
let maturity = 2.0;
let sqrt_maturity_sigma = sigma*maturity.sqrt();
let price = black_scholes::call_discount(
    stock, strike, discount,
    sqrt_maturity_sigma
);
//or 
let price = black_scholes::call(
    stock, strike, rate,
    sigma, maturity
);