#pricing #options #option-pricing #package

blackscholes

Black-Scholes option pricing model calculator

25 releases (9 breaking)

0.24.0 Sep 23, 2023
0.23.3 Jul 28, 2023
0.23.2 Apr 1, 2023
0.23.1 Mar 12, 2023
0.10.5 Nov 21, 2022

#291 in Finance

33 downloads per month

MIT license

1MB
1.5K SLoC

C++ 763 SLoC // 0.4% comments Rust 548 SLoC // 0.1% comments

Contains (ELF lib, 45KB) lib/lets_be_rational.so

blackscholes

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:

Usage

View the docs for usage and examples.

Other packages available:
Python: Pypi
WASM: npm

Dependencies

~6.5MB
~127K SLoC