Implement Greeks

[carlobortolan]

Implement Greeks

Description

Implement the calculation of the most important Greeks in the options module.

Tasks

• Define Greeks trait in greeks.rs
• Update the OptionPricing trait
• Implement the Greeks Trait for each model type:
  • BlackScholesModel
    • EuropeanOption
    • BinaryOption
    • BasketOption
    • RainbowOption
    • LookbackOption
    • BinaryOption
  • Black76Model
    • EuropeanOption
  • BinomialTreeModel
    • EuropeanOption
    • AmericanOption
    • BermudanOption
    • BasketOption
    • RainbowOption
    • BarrierOption
    • DoubleBarrierOption
    • BinaryOption

References

• Greeks

Assignees

• @carlobortolan