ndaultryball1/tunarust

Options pricing in rust - spare time project

tunarust

Options pricing in rust - spare time project

This project is my first in rust, and a way for me to learn the language and numerical options pricing methods.

I also will implement an interface in python as python FFI is something I have been curious about for a while.

I plan to implement finite difference and monte-carlo methods for european options.

Project organisation:

pypricer - python source code
options pricing - rust library to implement numerical methods, manipulate assets etc
pricing_interface - will provide wrappers around functions and objects from "options_pricing" in order to re-export them and provide a clean API.

Status:

[options_pricing]

• Explicit forward difference for Europeans - done
• Implicit methods for Europeans - Implemented, debugging necessary
• Monte Carlo methods - TBC

[pricing_interface]

• proof of concept rust function called from python - done
• Extern pricing functions - TBC

[pypricer]

• Define how things will be best organised in python
• Define plotting routines