optionstratlib 0.4.5

OptionStratLib is a comprehensive Rust library for options trading and strategy development across multiple asset classes.
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OptionStratLib v0.4.5: Financial Options Library

Table of Contents

  1. Introduction
  2. Features
  3. Project Structure
  4. Setup Instructions
  5. Library Usage
  6. Usage Examples
  7. Testing
  8. Contribution and Contact

Introduction

OptionStratLib is a comprehensive Rust library for options trading and strategy development across multiple asset classes. This versatile toolkit enables traders, quants, and developers to:

Features

  1. Valuation Models:
  • Black-Scholes model
  • Binomial model
  • Monte Carlo simulations
  • Telegraph process model
  1. Greeks Calculation:
  • Delta, gamma, theta, vega, and rho
  • Custom Greeks implementation
  • Greeks visualization
  1. Option Types:
  • European and American options
  • Calls and puts
  • Support for exotic options (Asian, Barrier, etc.)
  1. Volatility Models:
  • Constant volatility
  • EWMA (Exponentially Weighted Moving Average)
  • GARCH implementation
  • Heston stochastic volatility
  • Volatility surface interpolation
  1. Option Chain Management:
  • Chain construction and analysis
  • Strike price generation
  • Chain data import/export (CSV/JSON)
  1. Trading Strategies:
  • Bull Call Spread
  • Bear Put Spread
  • Call Butterfly
  • Strategy optimization
  • Custom strategy development
  1. Risk Management:
  • SPAN margin calculation
  • Position tracking
  • Break-even analysis
  • Profit/Loss calculations
  1. Simulation Tools:
  • Random Walk simulation
  • Telegraph process
  • Monte Carlo methods
  • Custom simulation frameworks
  1. Visualization:
  • Strategy payoff diagrams
  • Greeks visualization
  • Binomial trees
  • Risk profiles
  • Interactive charts
  1. Data Management:
  • CSV/JSON import/export
  • Option chain data handling
  • Historical data analysis
  • Price series management
  1. Backtesting: TODO!
  2. Performance Metrics: TODO!

Project Structure

The project is organized into the following key modules:

  1. Core Options (options/):
  • option.rs: Core option structures and methods
  • position.rs: Position management
  • chain.rs: Option chain handling
  1. Pricing Models (pricing/):
  • binomial_model.rs: Binomial tree implementation
  • black_scholes_model.rs: Black-Scholes pricing
  • monte_carlo.rs: Monte Carlo simulations
  • telegraph.rs: Telegraph process model
  1. Greeks (greeks/):
  • equations.rs: Greeks calculations
  • utils.rs: Greek utilities
  1. Volatility (volatility/):
  • constant.rs: Constant volatility model
  • ewma.rs: EWMA implementation
  • garch.rs: GARCH model
  • heston.rs: Heston model
  • surface.rs: Volatility surface handling
  1. Strategies (strategies/):
  • base.rs: Strategy base traits
  • bear_put_spread.rs:
  • bull_call_spread.rs:
  • butterfly_spread.rs:
  • call_butterfly.rs:
  • collar.rs:
  • covered_call.rs:
  • custom.rs: Custom strategy framework
  • iron_condor.rs:
  • poor_mans_covered_call.rs:
  • protective_put.rs:
  • straddle.rs:
  • strangle.rs:
  • utils.rs: Strategy utilities
  1. Risk Management (risk/):
  • span.rs: SPAN margin calculation
  • margin.rs: Margin requirements
  • position.rs: Position risk metrics
  1. Simulation (simulation/):
  • random_walk.rs
  • telegraph.rs
  • monte_carlo.rs
  1. Visualization (visualization/):
  • binomial_tree.rs
  • strategy.rs
  • utils.rs
  1. Data Management (data/):
  • chain.rs: Chain data structures
  • import.rs: Data import utilities
  • export.rs: Data export utilities

Relationships

Base Structure

classDiagram
class Options {
+option_type: OptionType
+side: Side
+underlying_symbol: String
+strike_price: Positive
+expiration_date: ExpirationDate
+implied_volatility: Positive
+quantity: Positive
+underlying_price: Positive
+risk_free_rate: Decimal
+option_style: OptionStyle
+dividend_yield: Positive
+exotic_params: Option~ExoticParams~
+calculate_price_black_scholes()
+calculate_price_binomial()
+time_to_expiration()
+is_long()
+is_short()
+validate()
}

class OptionType {
<<enumeration>>
European
American
Bermuda
Asian
Barrier
Binary
Lookback
Compound
Chooser
Cliquet
Rainbow
Spread
Quanto
Exchange
Power
}

class Side {
<<enumeration>>
Long
Short
}

class OptionStyle {
<<enumeration>>
Call
Put
}

class Position {
+option: Options
+premium: f64
+date: DateTime
+open_fee: f64
+close_fee: f64
+total_cost()
+unrealized_pnl()
+days_held()
+days_to_expiration()
+is_long()
+is_short()
+break_even()
}

class Strategies {
<<interface>>
+add_leg()
+get_legs()
+break_even()
+max_profit()
+max_loss()
+total_cost()
+net_premium_received()
+fees()
}

class BullCallSpread {
+long_call: Position
+short_call: Position
+break_even()
+max_profit()
+max_loss()
}

class CallButterfly {
+long_call_itm: Position
+short_call: Position
+long_call_otm: Position
+break_even()
+max_profit()
+max_loss()
}

class Greeks {
<<interface>>
+delta()
+gamma()
+theta()
+vega()
+rho()
+rho_d()
}

class Profit {
<<interface>>
+calculate_profit_at()
}

class Graph {
<<interface>>
+graph()
+title()
+get_values()
}

class PnLCalculator {
<<interface>>
+calculate_pnl()
+calculate_pnl_at_expiration()
}

Options --|> Greeks
Options --|> Profit
Options --|> Graph
Position *-- Options
Position --|> Greeks
Position --|> Profit
Position --|> Graph
Position --|> PnLCalculator
BullCallSpread --|> Strategies
BullCallSpread --|> Profit
BullCallSpread --|> Graph
CallButterfly --|> Strategies
CallButterfly --|> Profit
CallButterfly --|> Graph
Options o-- OptionType
Options o-- Side
Options o-- OptionStyle

Strategy Structure

classDiagram
class Options {
+option_type: OptionType
+side: Side
+strike_price: Positive
+expiration_date: ExpirationDate
+implied_volatility: f64
+calculate_price_black_scholes()
+calculate_price_binomial()
+calculate_delta()
+payoff()
}

class Position {
+option: Options
+premium: f64
+date: DateTime
+open_fee: f64
+close_fee: f64
+total_cost()
+unrealized_pnl()
+days_held()
}

class OptionChain {
+symbol: String
+underlying_price: Positive
+options: BTreeSet<OptionData>
+build_chain()
+add_option()
+save_to_csv()
+load_from_csv()
}

class Strategy {
<<Interface>>
+add_leg()
+get_legs()
+break_even()
+max_profit()
+max_loss()
+total_cost()
}

class BullCallSpread {
+long_call: Position
+short_call: Position
+break_even_points: Vec<f64>
+calculate_profit_at()
}

class CallButterfly {
+long_call_itm: Position
+long_call_otm: Position
+short_call: Position
+break_even_points: Vec<f64>
}

class Graph {
<<Interface>>
+title()
+get_values()
+get_vertical_lines()
+get_points()
}

class Profit {
<<Interface>>
+calculate_profit_at()
}

class Greeks {
<<Interface>>
+delta()
+gamma()
+theta()
+vega()
}

Position o-- Options
Strategy <|.. BullCallSpread
Strategy <|.. CallButterfly
Graph <|.. Options
Graph <|.. Position
Graph <|.. Strategy
Profit <|.. Options
Profit <|.. Position
Profit <|.. Strategy
Greeks <|.. Options
OptionChain o-- Options
BullCallSpread o-- Position
CallButterfly o-- Position

Strategies Classifications

---
config:
layout: fixed
---
flowchart TD
start["Options Strategies"] --> bullish["Bullish"] & bearish["Bearish"] & neutral["Neutral"]
bullish --> bull_high["High Volatility"] & bull_low["Low Volatility"]
bull_high --> bull_high_lim["Limited Risk"] & bull_high_unlim["Unlimited Risk"]
bull_low --> bull_low_lim["Limited Risk"] & bull_low_unlim["Unlimited Risk"]
bull_high_lim --> bull_high_lim_opt["Options Only"] & bull_high_lim_stock["With Underlying"]
bull_high_unlim --> bull_high_unlim_opt["Options Only"] & bull_high_unlim_stock["With Underlying"]
bull_low_lim --> bull_low_lim_opt["Options Only"] & bull_low_lim_stock["With Underlying"]
bull_low_unlim --> bull_low_unlim_opt["Options Only"] & bull_low_unlim_stock["With Underlying"]
bull_high_lim_opt --> bull_call(("Bull Call Spread"))
bull_high_lim_stock --> protective_put(("Protective Put"))
bull_high_unlim_opt --> long_call(("Long Call"))
bull_high_unlim_stock --> pmcc((Poor Man's Covered Call))
style pmcc shape:circle
bull_low_lim_opt --> bull_put(("Bull Put Spread"))
bull_low_lim_stock --> collar(("Collar"))
bull_low_unlim_opt --> naked_put(("Naked Put"))
bull_low_unlim_stock --> covered_call(("Covered Call"))
bearish --> bear_high["High Volatility"] & bear_low["Low Volatility"]
bear_high --> bear_high_lim["Limited Risk"] & bear_high_unlim["Unlimited Risk"]
bear_low --> bear_low_lim["Limited Risk"] & bear_low_unlim["Unlimited Risk"]
bear_high_lim --> bear_high_lim_opt["Options Only"] & bear_high_lim_stock["With Underlying"]
bear_high_unlim --> bear_high_unlim_opt["Options Only"] & bear_high_unlim_stock["With Underlying"]
bear_low_lim --> bear_low_lim_opt["Options Only"] & bear_low_lim_stock["With Underlying"]
bear_low_unlim --> bear_low_unlim_opt["Options Only"] & bear_low_unlim_stock["With Underlying"]
bear_high_lim_opt --> bear_put(("Bear Put Spread"))
bear_high_lim_stock --> synthetic_put(("Synthetic Put"))
bear_high_unlim_opt --> long_put(("Long Put"))
bear_high_unlim_stock --> covered_put(("Covered Put"))
bear_low_lim_opt --> bear_call(("Bear Call Spread"))
bear_low_lim_stock --> reverse_collar(("Reverse Collar"))
bear_low_unlim_opt --> naked_call(("Naked Call"))
bear_low_unlim_stock --> protective_call(("Protective Call"))
neutral --> neut_high["High Volatility"] & neut_low["Low Volatility"]
neut_high --> neut_high_lim["Limited Risk"] & neut_high_unlim["Unlimited Risk"]
neut_low --> neut_low_lim["Limited Risk"] & neut_low_unlim["Unlimited Risk"]
neut_high_lim --> neut_high_lim_opt["Options Only"] & neut_high_lim_stock["With Underlying"]
neut_high_unlim --> neut_high_unlim_opt["Options Only"] & neut_high_unlim_stock["With Underlying"]
neut_low_lim --> neut_low_lim_opt["Options Only"] & neut_low_lim_stock["With Underlying"]
neut_low_unlim --> neut_low_unlim_opt["Options Only"] & neut_low_unlim_stock["With Underlying"]
neut_high_lim_opt --> call_butterfly(("Call Butterfly")) & butterfly_spread(("Butterfly Spread")) & long_straddle(("Long Straddle")) & long_strangle(("Long Strangle"))
neut_high_unlim_opt --> short_straddle(("Short Straddle")) & short_strangle(("Short Strangle"))
neut_low_lim_opt --> iron_butterfly(("Iron Butterfly")) & iron_condor(("Iron Condor"))
neut_low_unlim_opt --> calendar_spread(("Calendar Spread")) & box_spread(("Box Spread"))
neut_high_lim_stock --> conversion(("Conversion"))
neut_high_unlim_stock --> reversal(("Reversal"))
neut_low_lim_stock --> married_combo(("Married Combo"))
neut_low_unlim_stock --> ratio_spread(("Ratio Spread"))

Setup Instructions

  1. Clone the repository:
git clone https://github.com/joaquinbejar/OptionStratLib.git
cd OptionStratLib
  1. Build the project:
make build
  1. Run tests:
make test
  1. Format the code:
make fmt
  1. Run linting:
make lint
  1. Clean the project:
make clean
  1. Run the project:
make run
  1. Fix issues:
make fix
  1. Run pre-push checks:
make pre-push
  1. Generate documentation:
make doc
  1. Publish the package:
make publish
  1. Generate coverage report:
make coverage

Library Usage

To use the library in your project, add the following to your Cargo.toml:

[dependencies]
optionstratlib = { git = "https://github.com/joaquinbejar/OptionStratLib.git" }

Usage Examples

Here are some examples of how to use the library for option pricing and analysis:

use optionstratlib::greeks::Greeks;
use optionstratlib::Options;
use optionstratlib::Positive;
use optionstratlib::model::types::{ExpirationDate, OptionStyle, OptionType, Side};
use optionstratlib::pos;
use optionstratlib::utils::setup_logger;
use optionstratlib::visualization::utils::Graph;
use optionstratlib::visualization::utils::GraphBackend;
use std::error::Error;
use tracing::info;

fn create_sample_option() -> Options {
    use rust_decimal_macros::dec;
use optionstratlib::pos;Options::new(
        OptionType::European,
        Side::Long,
        "AAPL".to_string(),
        pos!(100.0),
        ExpirationDate::Days(pos!(30.0)),
        pos!(0.2),
        pos!(1.0),
        pos!(105.0),
        dec!(0.05),
        OptionStyle::Call,
        Positive::ZERO,
        None,
    )
}
fn main() -> Result<(), Box<dyn Error>> {
    setup_logger();
    let option = create_sample_option();
    info!("Title: {}", option.title());
    info!("Greeks: {:?}", option.greeks());

    // Define a range of prices for the graph
    let price_range: Vec<Positive> = (50..150)
        .map(|x| pos!(x as f64))
        .collect();

    // Generate the intrinsic value graph
    option.graph(
        GraphBackend::Bitmap {
            file_path: "Draws/Options/intrinsic_value_chart.png",
            size: (1400, 933),
        },
        25,
    )?;

    Ok(())
}

use optionstratlib::Positive;
use optionstratlib::ExpirationDate;
use optionstratlib::pos;
use optionstratlib::strategies::Strategies;
use optionstratlib::strategies::bull_call_spread::BullCallSpread;
use optionstratlib::utils::setup_logger;
use optionstratlib::visualization::utils::Graph;
use optionstratlib::visualization::utils::GraphBackend;
use std::error::Error;
use tracing::info;

fn main() -> Result<(), Box<dyn Error>> {
    use rust_decimal_macros::dec;
setup_logger();

    let underlying_price = pos!(5781.88);

    let strategy = BullCallSpread::new(
        "SP500".to_string(),
        underlying_price,   // underlying_price
        pos!(5750.0),   // long_strike_itm
        pos!(5820.0),   // short_strike
        ExpirationDate::Days(pos!(2.0)),
        pos!(0.18),   // implied_volatility
        dec!(0.05),   // risk_free_rate
        Positive::ZERO,   // dividend_yield
        pos!(2.0),   // long quantity
        pos!(85.04),   // premium_long
        pos!(29.85),   // premium_short
        pos!(0.78),   // open_fee_long
        pos!(0.78),   // open_fee_long
        pos!(0.73),   // close_fee_long
        pos!(0.73),   // close_fee_short
    );

    let price_range = strategy.best_range_to_show(pos!(1.0)).unwrap();

    info!("Title: {}", strategy.title());
    info!("Break Even Points: {:?}", strategy.break_even_points);
    info!(
        "Net Premium Received: ${:.2}",
        strategy.net_premium_received()?
    );
    info!("Max Profit: ${:.2}", strategy.max_profit().unwrap_or(Positive::ZERO));
    info!("Max Loss: ${:0.2}", strategy.max_loss().unwrap_or(Positive::ZERO));
    info!("Total Fees: ${:.2}", strategy.fees()?);
    info!("Profit Area: {:.2}%", strategy.profit_area()?);
    info!("Profit Ratio: {:.2}%", strategy.profit_ratio()?);

    // Generate the profit/loss graph
    strategy.graph(
        GraphBackend::Bitmap {
            file_path: "Draws/Strategy/bull_call_spread_profit_loss_chart.png",
            size: (1400, 933),
        },
        20,
    )?;

    Ok(())
}

Testing

To run unit tests:

make test

To run tests with coverage:

make coverage

Contribution and Contact

We welcome contributions to this project! If you would like to contribute, please follow these steps:

  1. Fork the repository.
  2. Create a new branch for your feature or bug fix.
  3. Make your changes and ensure that the project still builds and all tests pass.
  4. Commit your changes and push your branch to your forked repository.
  5. Submit a pull request to the main repository.

If you have any questions, issues, or would like to provide feedback, please feel free to contact the project maintainer:

Joaquín Béjar García

We appreciate your interest and look forward to your contributions!

✍️ License

Licensed under MIT license