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BsmParams

finance_solution::derivatives

Struct BsmParams 

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pub struct BsmParams {
    pub spot: f64,
    pub strike: f64,
    pub time_years: f64,
    pub rate: f64,
    pub dividend_yield: f64,
    pub vol: f64,
}
Expand description

Black–Scholes–Merton inputs (European, continuous dividend yield q).

§Field meanings (trading)

FieldTrading meaning
spotUnderlier mid / last (or your mark)
strikeOption strike
time_yearsFraction of year to expiry (day-count is your policy)
rateContinuous funding / risk-free input to the model
dividend_yieldContinuous yield q (dividends, or borrow approximation)
volAnnualized σ — model input or implied from market

§Examples

use finance_solution::derivatives::BsmParams;
let p = BsmParams::atm_one_year(100.0, 0.05, 0.20);
assert_eq!(p.spot, p.strike);
assert_eq!(p.time_years, 1.0);

Convert calendar days with an explicit day-count (engine responsibility):

use finance_solution::derivatives::BsmParams;
let days = 21.0;
let p = BsmParams {
    spot: 50.0,
    strike: 55.0,
    time_years: days / 365.25,
    rate: 0.04,
    dividend_yield: 0.01,
    vol: 0.30,
};
assert!(p.time_years < 0.1);

Fields§

§spot: f64§strike: f64§time_years: f64

Time to expiry in years.

§rate: f64

Continuous risk-free rate.

§dividend_yield: f64

Continuous dividend yield (equity) or foreign-rate analog in FX-style setups.

§vol: f64

Annualized volatility (absolute).

Implementations§

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impl BsmParams

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pub const fn atm_one_year(spot: f64, rate: f64, vol: f64) -> Self

ATM, one year, zero dividend yield — convenient textbook / smoke fixture.

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pub fn with_days_365_25( spot: f64, strike: f64, days: f64, rate: f64, dividend_yield: f64, vol: f64, ) -> Self

Build from calendar days using Actual/365.25 style (days / 365.25).

Desks differ (business days, 365, 252). Prefer this helper only when that convention is intentional; otherwise set time_years yourself.

Trait Implementations§

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impl Clone for BsmParams

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fn clone(&self) -> BsmParams

Returns a duplicate of the value. Read more
1.0.0 (const: unstable) · Source§

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

Performs copy-assignment from source. Read more
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impl Copy for BsmParams

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impl Debug for BsmParams

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

Formats the value using the given formatter. Read more
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impl PartialEq for BsmParams

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fn eq(&self, other: &BsmParams) -> bool

Equality operator ==. Read more
1.0.0 (const: unstable) · Source§

fn ne(&self, other: &Rhs) -> bool

Inequality operator !=. Read more
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impl StructuralPartialEq for BsmParams

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impl<T> Any for T
where T: 'static + ?Sized,

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fn type_id(&self) -> TypeId

Gets the TypeId of self. Read more
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where T: ?Sized,

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fn borrow(&self) -> &T

Immutably borrows from an owned value. Read more
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impl<T> BorrowMut<T> for T
where T: ?Sized,

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fn borrow_mut(&mut self) -> &mut T

Mutably borrows from an owned value. Read more
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impl<T> CloneToUninit for T
where T: Clone,

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unsafe fn clone_to_uninit(&self, dest: *mut u8)

🔬This is a nightly-only experimental API. (clone_to_uninit)
Performs copy-assignment from self to dest. Read more
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impl<T> From<T> for T

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fn from(t: T) -> T

Returns the argument unchanged.

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where U: From<T>,

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fn into(self) -> U

Calls U::from(self).

That is, this conversion is whatever the implementation of From<T> for U chooses to do.

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fn into_either(self, into_left: bool) -> Either<Self, Self> ⓘ

Converts self into a Left variant of Either<Self, Self> if into_left is true. Converts self into a Right variant of Either<Self, Self> otherwise. Read more
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Converts self into a Left variant of Either<Self, Self> if into_left(&self) returns true. Converts self into a Right variant of Either<Self, Self> otherwise. Read more
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type Owned = T

The resulting type after obtaining ownership.
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fn to_owned(&self) -> T

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Uses borrowed data to replace owned data, usually by cloning. Read more
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type Error = Infallible

The type returned in the event of a conversion error.
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fn try_from(value: U) -> Result<T, <T as TryFrom<U>>::Error>

Performs the conversion.
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type Error = <U as TryFrom<T>>::Error

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fn try_into(self) -> Result<U, <U as TryFrom<T>>::Error>

Performs the conversion.