Rust options pricing library
Rust options pricing library for production analytics.
FerroRisk is built for teams that need one numerical path from contract pricing to surfaces, Greeks, chain analytics, and scenario attribution.
Problem
Why this needs one shared risk path
Pricing code often grows from model snippets that disagree on units, forwards, rates, and edge-case behavior.
Python prototypes are useful, but latency-sensitive systems need a Rust path that still respects reference math.
Teams need more than a price: IV, Greeks, surfaces, and chain risk must agree.
Workflow
How FerroRisk handles it
Choose the model explicitly
Call sites name the pricing model instead of hiding model choice behind global configuration.
Use shared conventions
Inputs follow documented unit and market conventions so single-contract and chain workflows stay aligned.
Carry risk forward
The same evaluation path can feed Greeks, surfaces, chain exposure, and downstream spread analytics.
Fit
What makes this FerroRisk-shaped
Seven model families are part of the public positioning.
Benchmarks expose nanosecond-class hot paths for core pricing and Greeks.
Formal proof gates cover stable pricing and risk primitive laws.
Questions
Common concerns
Is FerroRisk only a Black-Scholes implementation?
No. The public engine covers BSM, Black-76, Bachelier, displaced Black, Heston, Merton jump diffusion, and Bjerksund-Stensland workflows.
Can it be used behind product surfaces?
Yes. FerroRisk is the shared pricing and risk substrate behind MorphIQ Labs spread and advisor-grade workflows.
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