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rustyqlib/equity/
build_contracts.rs

1//use crate::rates;
2//use crate::rates::deposits::Deposit;
3
4use chrono::{NaiveDate,Local,Weekday};
5use chrono::Datelike;
6use crate::core::trade;
7use super::vanila_option::{EquityOption};
8use super::super::core::termstructure::YieldTermStructure;
9use crate::rates::utils::TermStructure;
10use crate::core::vols::VolSurface;
11use crate::rates::utils::{DayCountConvention};
12use crate::core::quotes::Quote;
13use crate::core::utils::{Contract,ContractStyle};
14use crate::equity::utils::{Engine, Payoff};
15use std::collections::BTreeMap;
16use crate::core::data_models::ProductData;
17
18pub fn build_eq_contracts_from_json(data: Vec<Contract>) -> Vec<Box<EquityOption>> {
19    let derivatives:Vec<Box<EquityOption>> = data.iter().map(|x| {
20        let ProductData::Option(opt_data) = &x.product_type else {
21            panic!("Not an option!");
22        };
23        // quotes used for implied vol calibration carry a market price but
24        // no input vol; seed a placeholder flat vol (the implied solve does
25        // not depend on it)
26        let mut opt_data = opt_data.clone();
27        if opt_data.volatility.is_none() && opt_data.vol_surface.is_none() {
28            opt_data.volatility = Some(0.2);
29        }
30        EquityOption::from_json(&opt_data)
31    }).collect();
32    return derivatives;
33}