/black76-rust

A Black76 pricing model built in Rust.

Primary LanguageC++MIT LicenseMIT

black76

This library provides an simple, lightweight, and efficient (though not heavily optimized) implementation of the Black76 model for pricing European options.

Includes all first, second, and third order Greeks.

Implements both:

Usage

View the docs for usage and examples.

Other packages available:
Python: Pypi
WASM: npm