[−][src]Function fang_oost_option::option_calibration::get_option_spline
pub fn get_option_spline<'a>(
strikes_and_option_prices: &[OptionData],
stock: f64,
discount: f64,
min_strike: f64,
max_strike: f64
) -> impl Fn(f64) -> f64 + 'a
Returns spline function
Examples
extern crate fang_oost_option; use fang_oost_option::option_calibration; //vector of tuple of (strike, option) let strikes_and_options = vec![ option_calibration::OptionData{ strike:30.0, price:22.0 }, option_calibration::OptionData{ strike:50.0, price:4.0 }, option_calibration::OptionData{ strike:60.0, price:0.5 } ]; let stock = 50.0; let min_strike = 0.3; let max_strike = 3000.0; let discount = 0.99; //discount factor let spline = option_calibration::get_option_spline( &strikes_and_options, stock, discount, min_strike, max_strike ); let estimated_transformed_strike_high = spline(1.2); let estimated_transformed_strike_low = spline(0.8); let estimated_transformed_strike_at_the_money = spline(1.0);