Getting started

This guide walks through wiring ferro-risk into a Cargo workspace and pricing a vanilla European option end-to-end.

Add the dependency

Add ferro-risk to your crate's Cargo.toml from the approved MorphIQ package source for your workspace:

[dependencies]
ferro-risk = { version = "0.26" }

Price an option

The Black–Scholes call price for spot $S$, strike $K$, rate $r$, time $T$, and volatility $\sigma$ is

In code:

use ferro_risk::{price, ExerciseStyle, OptionType, PricingInputs, PricingModel};
 
let inputs = PricingInputs {
    option_type: OptionType::Call,
    exercise_style: ExerciseStyle::European,
    spot: 100.0,
    strike: 105.0,
    time_to_expiry: 0.25,
    rate: 0.04,
    dividend_yield: 0.0,
    volatility: 0.20,
};
 
let premium = price(&inputs, PricingModel::BlackScholesMerton)?;
# Ok::<(), ferro_risk::FerroRiskError>(())

The function is allocation-free and pure — the same inputs always produce the same output, which makes it safe to use on the hot path of a backtest.

Next steps

Read the VaR reference for portfolio-level risk measures, and the API reference for the complete generated API.