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use serde::{Deserialize, Serialize};
use crate::core::curves::CurveInput;
use crate::core::vols::VolInput;
#[derive(Clone, Debug, Deserialize, Serialize)]
#[serde(tag = "product_type", rename_all = "snake_case")]
pub enum ProductData {
Option(EquityOptionData),
Future(EquityFutureData),
Forward(EquityForwardData),
RainbowOption(crate::equity::rainbow::RainbowOptionData),
}
#[derive(Clone, Debug, Deserialize, Serialize)]
pub struct EquityInstrumentBase {
pub symbol: String,
pub currency: Option<String>,
pub exchange: Option<String>,
pub name: Option<String>,
pub cusip: Option<String>,
pub isin: Option<String>,
pub underlying_price: f64,
pub long_short: Option<i32>,
pub risk_free_rate: Option<f64>,
/// Continuous stock borrow (repo) cost; enters the carry like an
/// additional dividend yield (hard-to-borrow lowers the forward).
pub borrow_cost: Option<f64>,
pub settlement_type: Option<String>,
}
/// A discrete cash dividend: ex-date and amount per share.
#[derive(Clone, Debug, Deserialize, Serialize)]
pub struct CashDividendData {
pub date: String,
pub amount: f64,
}
#[derive(Clone, Debug, Deserialize, Serialize)]
pub struct EquityFutureData {
#[serde(flatten)]
pub base: EquityInstrumentBase,
pub current_price: Option<f64>,
pub multiplier:Option<f64>,
pub entry_price:Option<f64>,
pub maturity: String,
pub dividend: Option<f64>,
}
#[derive(Clone, Debug, Deserialize, Serialize)]
pub struct EquityForwardData {
#[serde(flatten)]
pub base: EquityInstrumentBase,
pub current_price: Option<f64>,
pub notional: Option<f64>,
pub entry_price:Option<f64>,
pub maturity: String,
pub dividend: Option<f64>,
}
#[derive(Clone, Debug, Deserialize, Serialize)]
pub struct EquityOptionData {
#[serde(flatten)]
pub base: EquityInstrumentBase,
pub put_or_call: String, // "Call"/"Put"
pub payoff_type: String, // Vanilla/Barrier/Binary
/// Binary settlement: "cash" (default) or "asset".
pub binary_type: Option<String>,
/// Amount paid by a cash-or-nothing binary (default 1.0).
pub cash_amount: Option<f64>,
/// Barrier variant: "up_in" | "up_out" | "down_in" | "down_out".
pub barrier_type: Option<String>,
pub barrier_level: Option<f64>,
/// Asian averaging: "arithmetic" (default) | "geometric".
pub averaging_type: Option<String>,
/// Asian strike: "fixed" (default, average price) | "floating" (average strike).
pub asian_strike_type: Option<String>,
/// Forward-start: strike fixing date and strike as a fraction of the
/// fixing spot (default 1.0).
pub forward_start_date: Option<String>,
pub strike_fraction: Option<f64>,
/// Autocallable: early-redemption and knock-in protection levels
/// (absolute), per-period coupon (rebate), observation count, notional.
pub autocall_barrier: Option<f64>,
pub protection_barrier: Option<f64>,
pub autocall_coupon: Option<f64>,
pub autocall_observations: Option<usize>,
pub notional: Option<f64>,
/// Discrete cash dividends (ex-date + amount per share).
pub cash_dividends: Option<Vec<CashDividendData>>,
/// When set, the option is on a future (Black-76): "discounted"
/// (standard) or "margined" (futures-style). `underlying_price` is then
/// the futures price.
pub futures_settlement: Option<String>,
/// Strike; required for vanilla/binary/barrier/asian payoffs, unused
/// for forward-start and autocallable contracts.
pub strike_price: Option<f64>,
/// Constant volatility; the simple alternative to `vol_surface`.
pub volatility: Option<f64>,
pub maturity: String,
pub dividend: Option<f64>,
pub current_price: Option<f64>,
pub multiplier:Option<f64>,
pub entry_price:Option<f64>,
/// Monte Carlo path count (engine "MC" only).
pub simulation: Option<u64>,
/// MC time steps: 1 = terminal simulation; > 1 = path-wise stepping.
pub mc_time_steps: Option<usize>,
/// "exact" (default) | "euler" | "milstein"
pub mc_scheme: Option<String>,
/// "sobol" (default, low-discrepancy) | "pseudo" (seeded PCG64)
pub mc_sampler: Option<String>,
pub mc_seed: Option<u64>,
/// "gbm" (default, constant vol) | "local_vol" (Dupire from the
/// option's vol surface). Applies to the MonteCarlo and
/// FiniteDifference engines.
pub mc_model: Option<String>,
/// Finite difference grid nodes in spot (default 400).
pub fd_spot_steps: Option<usize>,
/// Finite difference time steps (default 400).
pub fd_time_steps: Option<usize>,
/// Heston parameters; required when `mc_model` is "heston".
pub heston: Option<crate::equity::heston::HestonParams>,
pub exercise_style: Option<String>, //European, American,
pub pricer:Option<String>,
/// Optional discount curve; when absent a flat curve is built from
/// `risk_free_rate` (which stays the simple way to specify a rate).
pub discount_curve: Option<CurveInput>,
/// Optional volatility surface; when absent a flat surface is built
/// from `volatility`. One of the two must be provided.
pub vol_surface: Option<VolInput>,
}