Struct OptionSpec 

pub struct OptionSpec {
    pub kind: OptionKind,
    pub spot: Decimal,
    pub strike: Decimal,
    pub time_to_expiry: Decimal,
    pub risk_free_rate: Decimal,
    pub volatility: Decimal,
}

All inputs required to price a European option under Black-Scholes.

Fields

kind: OptionKind

Option type: call or put.

spot: Decimal

Current underlying price (S). Must be positive.

strike: Decimal

Strike price (K). Must be positive.

time_to_expiry: Decimal

Time to expiry in years (T). Must be positive.

risk_free_rate: Decimal

Annualised risk-free rate (r). May be negative.

volatility: Decimal

Annualised implied/historical volatility (σ). Must be positive.

Trait Implementations

impl Clone for OptionSpec

fn clone(&self) -> Self

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Copy for OptionSpec

impl Debug for OptionSpec

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

Formats the value using the given formatter.

impl<'de> Deserialize<'de> for OptionSpec

fn deserialize<__D>(__deserializer: __D) -> Result<Self, __D::Error>

where __D: Deserializer<'de>,

Deserialize this value from the given Serde deserializer.

impl Serialize for OptionSpec

fn serialize<__S>(&self, __serializer: __S) -> Result<__S::Ok, __S::Error>

where __S: Serializer,

Serialize this value into the given Serde serializer.