jetblack-options 0.1.1

Functions for calculating option values and sensitivities, both analytically and using and finite difference methods.
Documentation 
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20

//! Black Scholes variance analytic solutions

use libm::{exp, log, sqrt};

fn cdf(x: f64) -> f64 {
    crate::distributions::cdf(x, 0.0, 1.0)
}

/// The generalized Black and Scholes formula on variance form.
#[allow(non_snake_case)]
pub fn price(is_call: bool, S: f64, K: f64, T: f64, r: f64, b: f64, v: f64) -> f64 {
    let d1 = (log(S / K) + (b + v / 2.0) * T) / sqrt(v * T);
    let d2 = d1 - sqrt(v * T);

    if is_call {
        S * exp((b - r) * T) * cdf(d1) - K * exp(-r * T) * cdf(d2)
    } else {
        K * exp(-r * T) * cdf(-d2) - S * exp((b - r) * T) * cdf(-d1)
    }
}