11 releases
0.5.0 | Feb 5, 2022 |
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0.4.0 | Mar 2, 2019 |
0.3.6 | Jan 12, 2019 |
0.3.4 | Aug 19, 2018 |
0.1.0 | Aug 16, 2018 |
#140 in Finance
46 downloads per month
Used in hull_white
17KB
291 lines
[lin-badge]: https://github.com/danielhstahl/binomial_tree_rust/workflows/Rust/badge.svg [cov-badge]: https://codecov.io/gh/danielhstahl/binomial_tree_rust/branch/master/graph/badge.svg
Linux | Codecov |
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![lin-badge] | ![cov-badge] |
Binomial Tree Option Calculator
This is a very generic binomial tree calculator. The calculator can be used to price American and European style options for any payoff and any single dimensional SDE of the form dS=alpha(S, t)dt+sigma(S, t)dW_t.
Requires 4 functions:
- The ratio of drift over volatility: (alpha(S, t)/sigma(S, t))
- The derivative of sigma with respect to the underlying: sigma'(S, t)
- The discount factor
- The payoff function
To demonstrate the flexibility, the tests compute the Black Scholes model price and a bond price under a CIR process.
Speed
This library takes roughly .4 seconds compared to .7 seconds for my C++ library for a 5000 step European call option. Benchmarks at https://danielhstahl.github.io/binomial_tree_rust/report/index.html.