tfrmma/options-pricing-engine-rs

Low-latency options pricing engine in Rust. BSM, Black-76, Heston, Bates (stochastic vol + jumps), Local Vol (Dupire). Analytic Greeks, fast IV solver (Halley), monotone cubic spline surfaces. Parallel batch pricing via Rayon.

GitHub repository with 6 stars and 0 forks.

Language: Rust

Topics: algorithmic-trading, black-scholes, derivatives, dupire, finance, greeks, heston-model, implied-volatility, local-volatility, low-latency

Open provider repository

24h trend summary

Trending score 0.40, freshness score 0.68, stars gained +1, forks gained +0.

Latest metric snapshot

2026-06-15: 6 stars and 0 forks.

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