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use std::f64::consts::E;
use common::*;
pub fn gamma(s0: f64, x: f64, t: f64, r: f64, q: f64, sigma: f64) -> f64 {
let d1 = d1(s0, x, t, r, q, sigma);
return gamma_d1(s0, t, q, sigma, d1);
}
pub fn gamma_d1(s0: f64, t: f64, q: f64, sigma: f64, d1: f64) -> f64 {
let arg1 = E.powf(-(q * t)) / (s0 * sigma * (t.sqrt()));
let arg2 = one_over_sqrt_pi();
let arg3 = E.powf((-d1).powf(2.0)) / 2.0;
return arg1 * arg2 * arg3;
}
#[cfg(test)]
mod tests {
use greeks::*;
const UNDERLYING: f64 = 64.68;
const STRIKE: f64 = 65.00;
const VOL: f64 = 0.5051;
const INTEREST_RATE: f64 = 0.0150;
const DIV_YIELD: f64 = 0.0210;
const DAYS_PER_YEAR: f64 = 365.0;
const TIME_TO_EXPIRY: f64 = 23.0 / DAYS_PER_YEAR;
const E_GAMMA: f64 = 0.0243;
#[test]
fn test_gamma() {
let gamma = gamma(UNDERLYING,
STRIKE,
TIME_TO_EXPIRY,
INTEREST_RATE,
DIV_YIELD,
VOL);
let abs = (gamma - E_GAMMA).abs();
assert!(abs < 0.001);
}
}