Function fang_oost_option::option_pricing::fang_oost_put_price [−][src]
pub fn fang_oost_put_price<'a, S>(
num_u: usize,
asset: f64,
strikes: &'a [f64],
rate: f64,
t_maturity: f64,
cf: S
) -> Vec<f64> where
S: Fn(&Complex<f64>) -> Complex<f64> + Sync + Send,
Returns put prices for the series of strikes
Examples
extern crate num_complex; use num_complex::Complex; extern crate fang_oost_option; use fang_oost_option::option_pricing; let num_u:usize = 256; let asset = 50.0; let strikes = vec![5000.0, 75.0, 50.0, 40.0, 0.03]; let rate = 0.03; let t_maturity = 0.5; let volatility:f64 = 0.3; //As an example, cf is standard diffusion let cf = |u: &Complex<f64>| { ((rate-volatility*volatility*0.5)*t_maturity*u+volatility*volatility*t_maturity*u*u*0.5).exp() }; let prices = option_pricing::fang_oost_put_price( num_u, asset, &strikes, rate, t_maturity, &cf );