optionstratlib-pricing

Option pricing models, Greeks and implied volatility of OptionStratLib, on the core domain types. The crate depends only on optionstratlib-core, optionstratlib-math and general numeric crates: no option chain, simulation engine, strategy, plotting, I/O or async runtime.

Prices, premia and Greeks cross the public boundary as rust_decimal::Decimal or Positive; f64 stays inside the numerical kernels.

Place in the workspace

• Depends on optionstratlib-core and optionstratlib-math.
• Must not depend on optionstratlib-simulation, -market, -analytics, -strategies, -backtest and -visualization; make check-graph enforces the layering (ADR-0001 D9).
• In the facade: optionstratlib::{pricing, greeks, volatility} and the pricing errors in optionstratlib::error, under the facade feature pricing. The facade paths are the same types as the paths here; the ownership map lists every one with its feature.

Moving from 0.21? The 0.22 architecture and adoption guide maps each redesign to its replacement workflow; 0.22 keeps no compatibility with 0.21.

Minimal example

use optionstratlib_pricing::error::PricingError;
use optionstratlib_core::model::{ExpirationDate, OptionStyle, OptionType, Options, Positive, Side};
use optionstratlib_core::pos_or_panic;
use optionstratlib_pricing::pricing::black_scholes;
use rust_decimal_macros::dec;

fn main() -> Result<(), PricingError> {
    // Hull's worked example: S = 42, K = 40, r = 10%, sigma = 20%, T = 0.5.
    let call = Options::new(
        OptionType::European,
        Side::Long,
        "XYZ".to_string(),
        pos_or_panic!(40.0),
        ExpirationDate::Days(pos_or_panic!(182.5)),
        pos_or_panic!(0.2),
        Positive::ONE,
        pos_or_panic!(42.0),
        dec!(0.10),
        OptionStyle::Call,
        Positive::ZERO,
        None,
    );
    let price = black_scholes(&call)?;
    assert!((price - dec!(4.76)).abs() < dec!(0.01));
    Ok(())
}

Runnable example

A runnable program that depends on this crate directly, with the smallest dependency set and no facade, is osl-example-direct-pricing; make tree-example-direct-pricing asserts its resolved graph.

Features

License

MIT