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OptionStratLib 0.17.0 — Black-76 & Garman-Kohlhagen FX Pricing

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@joaquinbejar joaquinbejar released this 26 Apr 08:51
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v0.17.0
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joaquinbejar Joaquin Bejar Garcia
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Learn about vigilant mode.

Release of two new closed-form pricing models:

Black-76 (Black 1976)

Pricing model for European options on futures and forwards. Reuses existing d1/d2/big_n helpers with Decimal end-to-end arithmetic. Only OptionType::European is supported.

Garman–Kohlhagen (1983)

Pricing model for European FX options. Structurally identical to BSM with q = r_f; delegates to black_scholes for bit-exact equivalence.

Technical Details

  • Both models pass comprehensive reference regression tests (Hull, Wystup)
  • PricingEngine now #[non_exhaustive] to prevent future major bumps
  • Full test coverage with parity checks and edge cases
  • PricingError variants now properly propagated (not wrapped)

See CHANGELOG.md for full details.

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