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danielhstahl
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black_scholes_rust
Rust for black scholes
https://danielhstahl.github.io/black_scholes_rust/dev/bench/
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Increase test coverage
#30
sunsided
closed
3 months ago
1
update bench action and allow comment toPR
#29
danielhstahl
closed
3 months ago
1
Replace 1/sqrt(2*pi) calculations with constants
#28
sunsided
closed
3 months ago
3
Add `black_box` to benchmarks
#27
sunsided
closed
3 months ago
5
Update Readme to use latest version.
#26
cauldnz
closed
1 year ago
0
Add support for dividend yield
#25
extremeandy
opened
1 year ago
3
updated special to work with wasm and added to build target
#24
danielhstahl
closed
1 year ago
1
WASM support
#23
mcdallas
closed
1 year ago
2
Maturity clarity
#22
brandonros
closed
1 year ago
7
put_vanna should be negative?
#21
brandonros
closed
1 year ago
1
compute_all isn't really realistic if it only accepts 1 sigma/IV because call/put IVs are usually different
#20
brandonros
closed
1 year ago
1
How big of a deal is a ~1.5% mismatch on calculated IV?
#19
brandonros
closed
1 year ago
3
second + third order greeks
#18
brandonros
opened
1 year ago
0
added vanna, vomma, charm
#17
danielhstahl
closed
1 year ago
5
outline vanna + vomma + charm
#16
brandonros
closed
1 year ago
4
PricesAndGreeks pub fields + debug derive
#15
brandonros
closed
1 year ago
1
call_iv NaN?
#14
brandonros
closed
1 year ago
1
chore: Update dependencies, and migrate code to 2021 edition
#13
Uzaaft
closed
2 years ago
7
Add jaeckel IV calculation
#12
Zarathustra2
opened
2 years ago
4
added cached version for efficient computation of all greeks and pric…
#11
danielhstahl
closed
2 years ago
0
added tests
#10
danielhstahl
closed
3 years ago
0
more accurate cf
#9
danielhstahl
closed
3 years ago
1
CDF function is not appropriate, can use statrs package for accurate values.
#8
dileepbapat
closed
3 years ago
5
Feature/add bench
#7
danielhstahl
closed
3 years ago
0
Add benches
#6
danielhstahl
closed
3 years ago
0
Proposal: Calc all greeks once & Decimals
#5
Zarathustra2
closed
2 years ago
4
FEAT: Added Rho
#4
Zarathustra2
closed
3 years ago
5
fix https://github.com/phillyfan1138/black_scholes_rust/issues/2
#3
danielhstahl
closed
5 years ago
0
call_iv() shouldn't panic if the implied volatility can't be found
#2
dgbustos
closed
5 years ago
3
Remove approx from dependency and make it a dev-dependency
#1
danielhstahl
closed
6 years ago
0