finlib 0.0.10

Quant finance functions implemented in Rust
Documentation 
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168

use crate::derivatives::options::OptionType::{Call, Put};
use crate::price::enums::Side::{Buy, Sell};

use alloc::vec;
use alloc::vec::Vec;

use crate::derivatives::options::OptionContract;
use crate::derivatives::options::OptionStyle::European;
#[cfg(feature = "py")]
use pyo3::prelude::*;

#[cfg_attr(feature = "py", pyfunction)]
pub fn bull_call_spread(
    floor_strike: f64,
    floor_premium: f64,
    ceiling_strike: f64,
    ceiling_premium: f64,
) -> Vec<OptionContract> {
    vec![
        OptionContract::from(Call, European, Buy, floor_strike, floor_premium),
        OptionContract::from(Call, European, Sell, ceiling_strike, ceiling_premium),
    ]
}

#[cfg_attr(feature = "py", pyfunction)]
pub fn bear_put_spread(
    floor_strike: f64,
    floor_premium: f64,
    ceiling_strike: f64,
    ceiling_premium: f64,
) -> Vec<OptionContract> {
    vec![
        OptionContract::from(Put, European, Buy, ceiling_strike, ceiling_premium),
        OptionContract::from(Put, European, Sell, floor_strike, floor_premium),
    ]
}

#[cfg_attr(feature = "py", pyfunction)]
pub fn collar(
    put_strike: f64,
    put_premium: f64,
    call_strike: f64,
    call_premium: f64,
) -> Vec<OptionContract> {
    vec![
        OptionContract::from(Put, European, Buy, put_strike, put_premium),
        OptionContract::from(Call, European, Sell, call_strike, call_premium),
    ]
}

#[cfg_attr(feature = "py", pyfunction)]
pub fn long_straddle(strike: f64, put_premium: f64, call_premium: f64) -> Vec<OptionContract> {
    vec![
        OptionContract::from(Put, European, Buy, strike, put_premium),
        OptionContract::from(Call, European, Buy, strike, call_premium),
    ]
}

#[cfg_attr(feature = "py", pyfunction)]
pub fn long_strangle(
    put_strike: f64,
    put_premium: f64,
    call_strike: f64,
    call_premium: f64,
) -> Vec<OptionContract> {
    vec![
        OptionContract::from(Put, European, Buy, put_strike, put_premium),
        OptionContract::from(Call, European, Buy, call_strike, call_premium),
    ]
}

#[cfg_attr(feature = "py", pyfunction)]
pub fn long_call_butterfly_spread(
    itm_strike: f64,
    itm_premium: f64,
    atm_strike: f64,
    atm_premium: f64,
    otm_strike: f64,
    otm_premium: f64,
) -> Vec<OptionContract> {
    vec![
        OptionContract::from(Call, European, Buy, itm_strike, itm_premium),
        OptionContract::from(Call, European, Sell, atm_strike, atm_premium),
        OptionContract::from(Call, European, Sell, atm_strike, atm_premium),
        OptionContract::from(Call, European, Buy, otm_strike, otm_premium),
    ]
}

#[cfg_attr(feature = "py", pyfunction)]
pub fn short_call_butterfly_spread(
    itm_strike: f64,
    itm_premium: f64,
    atm_strike: f64,
    atm_premium: f64,
    otm_strike: f64,
    otm_premium: f64,
) -> Vec<OptionContract> {
    vec![
        OptionContract::from(Call, European, Sell, itm_strike, itm_premium),
        OptionContract::from(Call, European, Buy, atm_strike, atm_premium),
        OptionContract::from(Call, European, Buy, atm_strike, atm_premium),
        OptionContract::from(Call, European, Sell, otm_strike, otm_premium),
    ]
}

#[cfg_attr(feature = "py", pyfunction)]
pub fn long_put_butterfly_spread(
    itm_strike: f64,
    itm_premium: f64,
    atm_strike: f64,
    atm_premium: f64,
    otm_strike: f64,
    otm_premium: f64,
) -> Vec<OptionContract> {
    vec![
        OptionContract::from(Put, European, Buy, itm_strike, itm_premium),
        OptionContract::from(Put, European, Sell, atm_strike, atm_premium),
        OptionContract::from(Put, European, Sell, atm_strike, atm_premium),
        OptionContract::from(Put, European, Buy, otm_strike, otm_premium),
    ]
}

#[cfg_attr(feature = "py", pyfunction)]
pub fn short_put_butterfly_spread(
    itm_strike: f64,
    itm_premium: f64,
    atm_strike: f64,
    atm_premium: f64,
    otm_strike: f64,
    otm_premium: f64,
) -> Vec<OptionContract> {
    vec![
        OptionContract::from(Put, European, Sell, itm_strike, itm_premium),
        OptionContract::from(Put, European, Buy, atm_strike, atm_premium),
        OptionContract::from(Put, European, Buy, atm_strike, atm_premium),
        OptionContract::from(Put, European, Sell, otm_strike, otm_premium),
    ]
}

#[cfg_attr(feature = "py", pyfunction)]
pub fn iron_butterfly_spread(
    atm_strike: f64,
    atm_premium: f64,
    otm_strike: f64,
    otm_premium: f64,
) -> Vec<OptionContract> {
    vec![
        OptionContract::from(Call, European, Buy, otm_strike, otm_premium),
        OptionContract::from(Call, European, Sell, atm_strike, atm_premium),
        OptionContract::from(Put, European, Sell, atm_strike, atm_premium),
        OptionContract::from(Put, European, Buy, otm_strike, otm_premium),
    ]
}

#[cfg_attr(feature = "py", pyfunction)]
pub fn reverse_iron_butterfly_spread(
    atm_strike: f64,
    atm_premium: f64,
    otm_strike: f64,
    otm_premium: f64,
) -> Vec<OptionContract> {
    vec![
        OptionContract::from(Call, European, Buy, atm_strike, atm_premium),
        OptionContract::from(Put, European, Buy, atm_strike, atm_premium),
        OptionContract::from(Call, European, Sell, otm_strike, otm_premium),
        OptionContract::from(Put, European, Sell, otm_strike, otm_premium),
    ]
}