Greeks
Simple library for calculation of options value and greeks using the Black-Scholes model
Install / Use
/learn @wateryan/GreeksREADME
greeks
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
- Lambda
- Rho
- Theta
- Vega
Second Order
- Gamma
Pricing
- European call option
- European put option
Valution
- Call option at expiry
- Put option at expiry
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