Struct IvQuery 

#[non_exhaustive]
pub struct IvQuery {
    pub market_price: f64,
    pub f: f64,
    pub k: f64,
    pub t: f64,
    pub r: f64,
    pub is_call: bool,
}

A market quote to invert for implied volatility: the observed market_price plus the option’s f, k, t, r, and is_call.

use black_76::{IvQuery, SolverConfig, call_price};
let market = call_price(100.0, 100.0, 1.0, 0.20, 0.0);
let result = IvQuery::new(market, 100.0, 100.0, 1.0, 0.0, true)
    .solve(&SolverConfig::default());
assert!(result.converged);
assert!((result.iv - 0.20).abs() < 1e-6);

New fields may be added in future minor versions.

Fields (Non-exhaustive)

Non-exhaustive structs could have additional fields added in future. Therefore, non-exhaustive structs cannot be constructed in external crates using the traditional Struct { .. } syntax; cannot be matched against without a wildcard ..; and struct update syntax will not work.

market_price: f64

Observed option market price.

f: f64

Forward / futures price.

k: f64

Strike.

t: f64

Time to expiry, in years.

r: f64

Risk-free rate (annualized, continuously compounded).

is_call: bool

true for a call quote, false for a put.

Implementations

impl IvQuery

pub const fn new( market_price: f64, f: f64, k: f64, t: f64, r: f64, is_call: bool, ) -> Self

Construct a quote from market price, forward, strike, time, rate, flag.

pub fn solve(&self, config: &SolverConfig) -> SolverResult

Solve for implied volatility. Like solve_iv, this returns a SolverResult: check converged before consuming iv (it is NaN on every non-converged path).

Trait Implementations

impl Clone for IvQuery

fn clone(&self) -> IvQuery

Returns a duplicate of the value.

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source.

impl Debug for IvQuery

fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter.

impl<'de> Deserialize<'de> for IvQuery

fn deserialize<__D>(__deserializer: __D) -> Result<Self, __D::Error>

where __D: Deserializer<'de>,

Deserialize this value from the given Serde deserializer.

impl PartialEq for IvQuery

fn eq(&self, other: &IvQuery) -> bool

Tests for self and other values to be equal, and is used by ==.

fn ne(&self, other: &Rhs) -> bool

Tests for !=. The default implementation is almost always sufficient, and should not be overridden without very good reason.

impl Serialize for IvQuery

fn serialize<__S>(&self, __serializer: __S) -> Result<__S::Ok, __S::Error>

where __S: Serializer,

Serialize this value into the given Serde serializer.

impl Copy for IvQuery

impl StructuralPartialEq for IvQuery