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hayden4r4 / blackscholes-rust

A Black-Scholes pricing model built in Rust
MIT License
9 stars 6 forks source link

Add black76 (and/or other models) support #23

Open hayden4r4 opened 1 month ago

hayden4r4 commented 1 month ago

I currently have the black76 model in a separate repo https://github.com/hayden4r4/black76-rust, but I believe we should fold it into this one.

This would effectively change this from a "blackscholes" repo to a "option valuation" repo, so it changes the scope, but lets us fit more use cases than black scholes alone applies to.

Given the similar api's I think its a good fit, we should look to modularize (is that a word?) the code better so we can drop in other option valuation models in the future more easily.

I'm open to discussion and or someone to give a shot at an implementation.

day01 commented 1 month ago

This was my next topic that I wanted to discuss. In my opinion, it fits perfectly to unify the approach.

day01 commented 1 month ago

https://github.com/hayden4r4/blackscholes-rust/blob/master/src/lets_be_rational/mod.rs We have to change functions names to achieve correctness behaviour with different models.

we have here bsm so separation on module level (bsm, b76, bdt etc) or differnet func names?