rustyqlib/cmdty/
black76.rs

1// use libm::{exp, log};
2// use std::f64::consts::{PI, SQRT_2};
3// use crate::core::utils::{dN, N};
4// use crate::core::trade;
5//
6// use super::cmdty_option::{CmdtyOption,Engine};
7// use super::super::core::termstructure::YieldTermStructure;
8// use super::super::core::traits::{Instrument,Greeks};
9// use super::super::core::interpolation;
10//
11// pub fn npv(bsd_option: &&CmdtyOption) -> f64 {
12//     assert!(bsd_option.volatility >= 0.0);
13//     assert!(bsd_option.time_to_maturity >= 0.0);
14//     assert!(bsd_option.current_price.value >= 0.0);
15//     if bsd_option.option_type == trade::PutOrCall::Call {
16//         let option_price = bsd_option.current_price.value() * N(bsd_option.d1())
17//             - bsd_option.strike_price * N(bsd_option.d2());
18//         return option_price;
19//     } else {
20//         let option_price = -bsd_option.current_price.value()
21//             * N(-bsd_option.d1())
22//             + bsd_option.strike_price * N(-bsd_option.d2());
23//         return option_price;
24//     }
25// }
26//
27//
28//
29// impl CmdtyOption {
30//     pub fn set_risk_free_rate(&mut self){
31//        let model = interpolation::CubicSpline::new(&self.term_structure.date, &self.term_structure.rates);
32//        let r = model.interpolation(self.time_to_maturity);
33//        self.risk_free_rate = Some(r);
34//     }
35//     pub fn get_premium_at_risk(&self) -> f64 {
36//         let value = self.npv();
37//         let mut pay_off = 0.0;
38//         if self.option_type == trade::OptionType::Call {
39//             pay_off = self.current_price.value() - self.strike_price;
40//         } else if self.option_type == trade::OptionType::Put {
41//             pay_off = self.strike_price - self.current_price.value();
42//         }
43//         if pay_off > 0.0 {
44//             return value - pay_off;
45//         } else {
46//             return value;
47//         }
48//     }
49//     pub fn d1(&self) -> f64 {
50//         //Black76 d1 function Parameters
51//         let tmp1 = (self.current_price.value() / self.strike_price).ln()
52//             + (0.5 * self.volatility.powi(2))
53//             * self.time_to_maturity;
54//
55//         let tmp2 = self.volatility * (self.time_to_maturity.sqrt());
56//         return tmp1 / tmp2;
57//     }
58//     pub fn d2(&self) -> f64 {
59//         let d2 = self.d1() - self.volatility * self.time_to_maturity.powf(0.5);
60//         return d2;
61//     }
62//     // pub fn imp_vol(&mut self,option_price:f64) -> f64 {
63//     //     for i in 0..100{
64//     //         let d_sigma = (self.npv()-option_price)/self.vega();
65//     //         self.volatility -= d_sigma
66//     //     }
67//     //     self.volatility
68//     // }
69// }
70// impl Greeks for CmdtyOption{
71//      fn delta(&self) -> f64 {
72//         let mut delta = N(self.d1());
73//         if self.option_type == trade::OptionType::Call {
74//             delta = delta;
75//         } else if self.option_type == trade::OptionType::Put {
76//             delta = delta - 1.0;
77//         }
78//         return delta;
79//     }
80//     fn gamma(&self) -> f64 {
81//         let gamma = dN(self.d1());
82//
83//         let var_sqrt = self.volatility * (self.time_to_maturity.sqrt());
84//         return gamma / (self.current_price.value() * var_sqrt);
85//     }
86//     fn vega(&self) -> f64 {
87//         //St * dN(d1) * math.sqrt(T - t)
88//         let vega = self.current_price.value() * dN(self.d1()) * self.time_to_maturity.sqrt();
89//         return vega;
90//     }
91//     fn theta(&self) -> f64 {
92//         let mut theta = 0.0;
93//         if self.option_type == trade::OptionType::Call {
94//             //-(St * dN(d1) * sigma / (2 * math.sqrt(T - t)) + r * K * math.exp(-r * (T - t)) * N(d2))
95//             let t1 = -self.current_price.value() * dN(self.d1()) * self.volatility
96//                 / (2.0 * self.time_to_maturity.sqrt());
97//
98//             theta = t1;
99//         } else if self.option_type == trade::OptionType::Put {
100//             //-(St * dN(d1) * sigma / (2 * math.sqrt(T - t)) - r * K * math.exp(-r * (T - t)) * N(d2))
101//             let t1 = -self.current_price.value() * dN(self.d1()) * self.volatility
102//                 / (2.0 * self.time_to_maturity.sqrt());
103//
104//             theta = t1;
105//         }
106//
107//         return theta;
108//     }
109//     fn rho(&self) -> f64 {
110//         //rho K * (T - t) * math.exp(-r * (T - t)) * N(d2)
111//         let mut rho = 0.0;
112//         if self.option_type == trade::OptionType::Call {
113//             rho = self.strike_price
114//                 * self.time_to_maturity
115//
116//                 * N(self.d2());
117//         } else if self.option_type == trade::OptionType::Put {
118//             //put_rho = -K * (T - t) * math.exp(-r * (T - t)) * N(-d2)
119//             rho = -self.strike_price
120//                 * self.time_to_maturity
121//                 * N(-self.d2());
122//         }
123//
124//         return rho;
125//     }
126// }
rustyqlib/cmdty/black76.rs

rustyqlib/cmdty/
black76.rs
