quantsupport 0.1.6

Rust quantitative finance library for derivatives pricing, yield-curve bootstrapping, AAD risk, Monte Carlo exposure, and XVA.
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

use crate::{
    core::{
        collateral::Discountable,
        instrument::{AssetClass, Instrument},
        trade::{Side, Trade},
    },
    currencies::currency::Currency,
    indices::marketindex::MarketIndex,
    time::{date::Date, daycounter::DayCounter},
    volatility::volatilityindexing::Strike,
};

/// Represents the payoff type of an European option.
#[derive(Clone)]
pub enum EuroOptionType {
    /// Call option type.
    Call,
    /// Put option type.
    Put,
}

/// Represents an European option on an equity underlying.
#[derive(Clone)]
pub struct EquityEuropeanOption {
    /// The market index for this option.
    market_index: MarketIndex,
    /// The expiry date of the option.
    expiry_date: Date,
    /// The strike price of the option.
    strike: Strike,
    /// The type of the option (Call or Put).
    option_type: EuroOptionType,
    /// The unique identifier for this option.
    identifier: String,
    /// Day count convention for the option (e.g., "ACT/365").
    day_counter: DayCounter,
    /// Currency
    currency: Currency,
}

/// Represents a trade of a European equity option.
pub struct EquityEuropeanOptionTrade {
    /// The underlying instrument.
    instrument: EquityEuropeanOption,
    /// The notional amount of the trade.
    notional: f64,
    /// The date the trade was executed.
    trade_date: Date,
    /// Side of the trade
    side: Side,
}

impl EquityEuropeanOption {
    /// Creates a new european equity option.
    #[must_use]
    pub const fn new(
        market_index: MarketIndex,
        expiry_date: Date,
        strike: Strike,
        option_type: EuroOptionType,
        identifier: String,
    ) -> Self {
        Self {
            market_index,
            expiry_date,
            strike,
            option_type,
            identifier,
            day_counter: DayCounter::Actual360,
            currency: Currency::USD,
        }
    }

    /// Returns the market index of this option.
    #[must_use]
    pub const fn market_index(&self) -> &MarketIndex {
        &self.market_index
    }

    /// Returns the expiry date of this option.
    #[must_use]
    pub const fn expiry_date(&self) -> Date {
        self.expiry_date
    }

    /// Returns the strike price of this option.
    #[must_use]
    pub const fn strike(&self) -> Strike {
        self.strike
    }

    /// Returns the type of this option.
    #[must_use]
    pub const fn option_type(&self) -> &EuroOptionType {
        &self.option_type
    }

    /// Returns the day count convention of this option.
    #[must_use]
    pub const fn day_counter(&self) -> &DayCounter {
        &self.day_counter
    }
}

impl Discountable for EquityEuropeanOption {
    fn currency(&self) -> Currency {
        self.currency
    }

    fn asset_class(&self) -> AssetClass {
        AssetClass::Equity
    }

    fn discount_index(&self) -> Option<MarketIndex> {
        None
    }
}

impl EquityEuropeanOptionTrade {
    /// Creates a new equity option trade.
    #[must_use]
    pub const fn new(
        instrument: EquityEuropeanOption,
        notional: f64,
        trade_date: Date,
        side: Side,
    ) -> Self {
        Self {
            instrument,
            notional,
            trade_date,
            side,
        }
    }

    /// Returns the notional amount of this trade.
    #[must_use]
    pub const fn notional(&self) -> f64 {
        self.notional
    }
}

impl Instrument for EquityEuropeanOption {
    fn identifier(&self) -> String {
        self.identifier.clone()
    }
}

impl Trade<EquityEuropeanOption> for EquityEuropeanOptionTrade {
    fn instrument(&self) -> &EquityEuropeanOption {
        &self.instrument
    }

    fn trade_date(&self) -> Date {
        self.trade_date
    }

    fn side(&self) -> Side {
        self.side
    }
}