options-pricing-engine-rs
Unverified Arbitrage strategy on Options by tfrmma. BotFinder score 18 out of 100.
Low-latency options pricing engine in Rust. BSM, Black-76, Heston, Bates (jumps), Local Vol (Dupire), Monte Carlo (Euler/Andersen QE). Adaptive Gauss-Kronrod CF pricers, full analy
Source: github
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options-pricing-engine-rs
options-pricing-engine-rs A Rust options pricing library covering Black-Scholes-Merton, Black-76, Heston (1993), Bates (1996), and Dupire local volatility, with full analytic Greeks where closed forms exist, a Halley-iteration implied vol solver, Levenberg-Marquardt calibration (single-start, multistart, and differential-evolution global search) for both Heston and Bates, no-arbitrage surface repair, and a Monte Carlo engine (full truncation Euler or Andersen QE) for path-dependent payoffs. Built for a vol surface update cycle, not a scripting exercise. License: MIT. See LICENSE. Contents - Models - Rough Bergomi (work in progress) - Deribit inverse (coin-settled) options - Design - Build - Usage - Testing - Performance - Known limitations and roadmap - Dependencies - References Models | Model | Pricing method | Greeks | |---|---|---| | Black-Scholes-Merton | Closed form | Full analytic: Δ, Γ, ν, Θ, ρ, vanna, volga | | Black-76 | Closed form | Full analytic | | Heston (1993) | Albrecher et al. (2007) stable characteristic function, adaptive Gauss-Kronrod-15 quadrature | Bump-and-repr
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