{"repo":"tfrmma/options-pricing-engine-rs","free":true,"listed":false,"github":"https://github.com/tfrmma/options-pricing-engine-rs","clone":"git clone https://github.com/tfrmma/options-pricing-engine-rs.git","description":"Low-latency options pricing engine in Rust. BSM, Black-76, Heston, Bates (jumps), Local Vol (Dupire), Monte Carlo (Euler/Andersen QE). Adaptive Gauss-Kronrod CF pricers, full analytic Greeks, forward-mode AD (incl. jump sensitivities), Halley IV solver, LM/DE global calibration, no-arbitrage repair, Rayon parallelism. CI + clippy, 0 warnings.","language":"Rust","stars":13,"topics":["algorithmic-trading","black-scholes","derivatives","finance","heston-model","implied-volatility","local-volatility","low-latency","numerical-methods","options-pricing"],"license":"MIT","category":"trading","readme_excerpt":"options-pricing-engine-rs A Rust options pricing library covering Black-Scholes-Merton, Black-76, Heston (1993), Bates (1996), and Dupire local volatility, with full analytic Greeks where closed forms exist, a Halley-iteration implied vol solver, Levenberg-Marquardt calibration (single-start, multistart, and differential-evolution global search) for both Heston and Bates, no-arbitrage surface repair, and a Monte Carlo engine (full truncation Euler or Andersen QE) for path-dependent payoffs. Built for a vol surface update cycle, not a scripting exercise. License: MIT. See LICENSE. Contents - Models - Design - Build - Usage - Testing - Performance - Known limitations and roadmap - Dependencies - References Models Model Pricing method Greeks --- --- --- Black-Scholes-Merton Closed form Full analytic: Δ, Γ, ν, Θ, ρ, vanna, volga Black-76 Closed form Full analytic Heston (1993) Albrecher et al. (2007) stable characteristic function, adaptive Gauss-Kronrod-15 quadrature Bump-and-reprice ( heston price and greeks ), or forward-mode automatic differentiation ( heston greeks ad ) Bates (1996) Heston CF × Merton (1976) log-normal jump CF Bump-and-reprice ( bates price and greeks ), or forward-mode AD ( bates greeks ad ) Local Vol (Dupire 1994) Fritsch-Butland monotone cubic spline, differentiated through the spline, not the raw grid Numerical (local vol surface) Monte Carlo (Heston/Bates) Full truncation Euler (default) or Andersen (2008) QE, exact per-step Poisson jump counts, antithe","default_branch":null,"files":null,"tree":[],"storefront":"/r/tfrmma","claimed":false,"request_supported":{"post":"https://gitbuyer.com/r/tfrmma/options-pricing-engine-rs/request-supported","requests":0},"note":"indexed from public GitHub; nothing is for sale on this page. Clone it from GitHub. Paid listings live at /search."}