5 releases (3 breaking)
| 0.4.0 | Aug 26, 2019 |
|---|---|
| 0.3.0 | Mar 23, 2019 |
| 0.2.1 | Aug 19, 2018 |
| 0.2.0 | Aug 19, 2018 |
| 0.1.0 | Jul 5, 2018 |
#407 in Finance
23 downloads per month
8KB
109 lines
[lin-badge]: https://travis-ci.org/phillyfan1138/carr_madan_rust.svg?branch=master [cov-badge]: https://codecov.io/gh/phillyfan1138/carr_madan_rust/branch/master/graph/badge.svg
| Linux | Codecov |
|---|---|
| ![lin-badge] | ![cov-badge] |
Carr-Madan
This is a rust implementation of Carr Madan's FFT option pricing methodology.
Benchmarks
Dependencies
~4.5MB
~89K SLoC