The black_scholes from ronniec95

beautiful code and beautiful article about it

I just read your article about:
https://medium.com/@mushfaqueronniechowdhury/probably-the-fastest-black-scholes-pricer-in-world-34103e97f7eb

Thank you for enlightening me with some math I otherwise wouldn't be able to understand without your article.

You are a super-hero.

Calcuating greeks

First off thank you so much for writing this crate! If it wasn't for this I wouldn't even know where to start. I'm working on trying to calculate some greeks and seeing if it matches data the nasdaq is producing. I'm using the $1000 2022-01-28 PUT for tesla as an example. Using the following code:

    use black_scholes_pricer::put_greeks;
    use chrono::NaiveDate;

    let expiry = NaiveDate::from_ymd(2022, 1, 28);
    let today = NaiveDate::from_ymd(2021, 12, 25);
    let days_until_expire = expiry.signed_duration_since(today).num_days();
    println!("Days until expire: {}", days_until_expire);
    let greeks = put_greeks(
        &[52.0],
        &[1000.0],
        &[days_until_expire as f32 / 252.0],
        &[0.0],
        &[0.62578],
        &[0.0],
    );
    println!("{:?}", greeks);

I get this output:

Days until expire: 34
Greeks { pv: [948.0, NaN, NaN, NaN, NaN, NaN, NaN, NaN], delta: [-1.0, NaN, NaN, NaN, NaN, NaN, NaN, NaN], theta: [-3409717700000000000000000000000000000.0, NaN, NaN, NaN, NaN, NaN, NaN, NaN], gamma: [-6440186000000000000000000000000000.0, NaN, NaN, NaN, NaN, NaN, NaN, NaN], rho: [-134.92064, NaN, NaN, NaN, NaN, NaN, NaN, NaN], vega: [1470297200000000000000000000000000000.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0] }

If I modify the inputs and remove the division by 252 from the days_util_expire and actually gets pretty close to the nasdaq output.

Greeks { pv: [987.7166, NaN, NaN, NaN, NaN, NaN, NaN, NaN], delta: [-0.15524423, NaN, NaN, NaN, NaN, NaN, NaN, NaN], theta: [-1.8617551, NaN, NaN, NaN, NaN, NaN, NaN, NaN], gamma: [-0.0035164347, NaN, NaN, NaN, NaN, NaN, NaN, NaN], rho: [-33856.836, NaN, NaN, NaN, NaN, NaN, NaN, NaN], vega: [202.30647, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0] }

I'm likely not understanding something about how to use this function.

Test failing: bs_f32x8_::tests::check_ir_from_price_f32x8

This test is failing when I try on aarch64 or x86_64 targets. Is this left intentionally broken, or otherwise? 🤔

I'm currently investigating what's available in Rust for black scholes. Would be nice to be able to use your work but I'm not sure if it's too experimental at the moment 😅

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beautiful code and beautiful article about it

Calcuating greeks

Test failing: bs_f32x8_::tests::check_ir_from_price_f32x8

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