This library provides an simple, lightweight, and efficient (though not heavily optimized) implementation of the Black-Scholes-Merton model for pricing European options.
Includes all first, second, and third order Greeks.
Implements both:
- calc_iv() in the ImpliedVolatility trait which uses Modified Corrado-Miller by Piotr P√luciennik (2007) for the initial volatility guess and the Newton Raphson algorithm to solve for the implied volatility.
- calc_rational_iv() in the ImpliedVolatility trait which uses "Let's be rational" method from "Let’s be rational" (2016) by Peter Jackel. Utilizing Jackel's C++ implementation to get convergence within 2 iterations with 64-bit floating point accuracy.
View the docs for usage and examples.
