Struct BullSpread 

pub struct BullSpread { /* private fields */ }

Bull spread option payoff and profit.

Bull Spread = Long Call + Short Call

Implementations

impl BullSpread

pub fn build(k_l: f64, k_s: f64, cost: f64) -> Result<Self, DigiFiError>

Creates a new BullSpread instance.

Input

• k_l: Long call option strike price
• k_s: Short call option strike price
• cost: Initial option price (cost)

Errors

• Returns an error if the short call strike price is smaller than the long call strike price.

Trait Implementations

impl Clone for BullSpread

fn clone(&self) -> BullSpread

Returns a duplicate of the value.

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source.

impl Debug for BullSpread

fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter.

impl ErrorTitle for BullSpread

fn error_title() -> String

Returns the error title.

impl Payoff for BullSpread

fn payoff(&self, s: f64) -> f64

Bull spread option payoff.

Input

• s: Underlying asset price

Output

• Payoff of the bull spread option

LaTeX Formula

• \textit{Bull Spread Payoff} = max(S_{t}-K_{l}, 0) + min(K_{s}-S_{t}, 0)

Examples

use ndarray::{Array1, array};
use digifi::utilities::TEST_ACCURACY;
use digifi::financial_instruments::{Payoff, BullSpread};

let s: Array1<f64> = Array1::from_vec(vec![3.0, 4.0, 5.0, 6.0, 7.0]);

let bull_spread: BullSpread = BullSpread::build(4.0, 6.0, 1.0).unwrap();

assert!((bull_spread.payoff_iter(&s) - Array1::from_vec(vec![0.0, 0.0, 1.0, 2.0, 2.0])).map(|v| v.abs() ).sum() < TEST_ACCURACY);

fn profit(&self, s: f64) -> f64

Bull spread option profit.

Input

• s: Underlying asset price

Output

• Profit of the bull spread option

LaTeX Formula

• \textit{Bull Spread Profit} = max(S_{t}-K_{l}, 0) + min(K_{s}-S_{t}, 0) - \textit{Cost}

fn update_cost(&mut self, new_cost: f64)

Updates the cost/premium of the instrument.

fn payoff_iter(&self, s: &Array1<f64>) -> Array1<f64>

Payoff function applied to the array of values.

fn validate_payoff(&self, val_length: usize) -> Result<(), DigiFiError>

Validation of payoff object to satisfy the computational requirements.

fn profit_iter(&self, s: &Array1<f64>) -> Array1<f64>

Profit function applied to the array of values.

impl Copy for BullSpread