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Module state

finance_solution::derivatives

Module state 

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§Live BSM state — engineering for streaming underliers

Holds one European contract’s BSM inputs and exposes set_* mutators so your market-data loop does not rebuild parameter graphs on every tick.

§Trading perspective

On each underlier print, risk wants fresh Δ/Γ for every open option. On each option quote, vol traders update IV from mid and recompute vega/theta. This type is the per-contract scratchpad for that loop — not the book itself.

§Engineering perspective

HashMap<OptionKey, BsmState>   // in YOUR engine

on_underlier_tick(s):
  for state in map.values_mut() {
      state.set_spot(s)?;
      let g = state.greeks()?;   // or throttle / rayon
      aggregate_risk(g);
  }

on_option_quote(key, mid):
  map[key].set_vol_from_price(mid)?;

Combine with TA on the same symbol:

on_1m_bar → equity.ta.push(...)
on_spot   → options[*].set_spot(s)

Both pipelines are sync math. Concurrency is optional and outside this crate (rayon over keys, async tasks that only deliver messages).

§Example

use finance_solution::derivatives::{BsmParams, BsmState, OptionType};

let p = BsmParams::atm_one_year(100.0, 0.05, 0.20);
let mut opt = BsmState::new(p, OptionType::Call).unwrap();
// underlier tick:
opt.set_spot(101.5).unwrap();
let g = opt.greeks().unwrap();
assert!(g.delta > 0.0);
// mark IV from mid:
opt.set_vol_from_price(11.0).unwrap();
assert!(opt.params().vol > 0.0);

Structs§

BsmState
Mutable European option under BSM (spot / vol / time / strike updates).