More information about this crate can be found in the crate documentation.
implied-vol is a high-performance, pure Rust implementation of Peter Jäckel's implied volatility calculations. This
library serves as a robust Rust reimplementation of the methodologies presented in Jäckel's works.
Our library follows the methods presented in two pivotal papers by Peter Jäckel:
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Let's Be Rational: This work presents an approach to deduce Black’s volatility from option prices with high precision.
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Implied Normal Volatility: Here, Jäckel provides an analytical formula to calculate implied normal volatility (also known as Bachelier volatility) from vanilla option prices.
Both resources can be accessed at Peter Jäckel's homepage.
Peter Jäckel, the author of the original paper, asserts that "the calculation of a single implied volatility is now down to just under 270 nanoseconds" based on his machine's benchmark measurements. By examining the benchmark measurements performed on this crate's GitHub Actions, it becomes clear that comparable performance is being achieved.
On our machine, the relative error for both implied Black volatility and implied normal volatility calculations is confirmed to be less than twice the machine epsilon in random tests.
Community contributions are always welcome!
normal-distribution: Provide functions related to standard normal distribution used in calculation of implied volatilityerror-function: Provide functions related to error function used in calculation of implied volatility
This project is licensed under the MIT license.