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ronniec95 / black_scholes

A SIMD based black scholes pricer using the http://crates.io/wide crate
https://mushfaqueronniechowdhury.medium.com/probably-the-fastest-black-scholes-pricer-in-world-34103e97f7eb
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Test failing: bs_f32x8_::tests::check_ir_from_price_f32x8 #4

Open extremeandy opened 1 year ago

extremeandy commented 1 year ago

This test is failing when I try on aarch64 or x86_64 targets. Is this left intentionally broken, or otherwise? 🤔

I'm currently investigating what's available in Rust for black scholes. Would be nice to be able to use your work but I'm not sure if it's too experimental at the moment 😅

ronniec95 commented 1 year ago

Hi

I'll check the test asap. It's not meant to be experimental at all we use it in production.

However calculating the interest rate from a option price is not a closed form solution but iterative so it's not necessarily convergent.

On Tue, 13 Dec 2022, 20:57 extremeandy, @.***> wrote:

This test is failing when I try on aarch64 or x86_64 targets. Is this left intentionally broken, or otherwise? 🤔

I'm currently investigating what's available in Rust for black scholes. Would be nice to be able to use your work but I'm not sure if it's too experimental at the moment 😅

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