implied-vol 2.0.0

A pure rust implementation of Peter Jäckel's implied volatility calculation
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

/// This example demonstrates how to use custom special functions with the `implied_vol` crate
/// by implementing the `SpecialFn` trait.
use implied_vol::{DefaultSpecialFn, ImpliedBlackVolatility, PriceBlackScholes, SpecialFn};

#[link(name = "m")]
unsafe extern "C" {
    fn erf(x: f64) -> f64;
    fn erfc(x: f64) -> f64;
}

struct MySpecialFn;

// Implement the `SpecialFn` trait for `MySpecialFn`
// For more details on the `SpecialFn` trait, see the `implied_vol` crate documentation.
impl SpecialFn for MySpecialFn {
    fn erf(x: f64) -> f64 {
        // Call the C library function `erf` directly
        unsafe { erf(x) }
    }

    fn erfc(x: f64) -> f64 {
        // Call the C library function `erfc` directly
        unsafe { erfc(x) }
    }
}

fn main() {
    let forward = 100.0;
    let strike = 100.0;
    let maturity = 1.0;
    let volatility = 0.2;
    let is_call = true;

    let price_builder = PriceBlackScholes::builder()
        .forward(forward)
        .strike(strike)
        .expiry(maturity)
        .is_call(is_call)
        .volatility(volatility)
        .build()
        .unwrap();

    let implied_vol_builder = ImpliedBlackVolatility::builder()
        .forward(forward)
        .strike(strike)
        .expiry(maturity)
        .is_call(is_call);
    let implied_vol_builder2 = implied_vol_builder.clone();

    // Use the custom special function implementation
    let price = price_builder.calculate::<MySpecialFn>();
    let implied_vol = implied_vol_builder
        .option_price(price)
        .build()
        .unwrap()
        .calculate::<MySpecialFn>()
        .unwrap();
    println!("Price: {price}");
    println!("Implied Volatility: {implied_vol}");

    // Using the default special function implementation
    let price = price_builder.calculate::<DefaultSpecialFn>();
    let implied_vol = implied_vol_builder2
        .option_price(price)
        .build()
        .unwrap()
        .calculate::<DefaultSpecialFn>()
        .unwrap();
    println!("Price: {price}");
    println!("Implied Volatility: {implied_vol}");
}