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BinomialTree

mollendorff_forge::real_options::binomial

Struct BinomialTree 

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pub struct BinomialTree {
    pub spot: f64,
    pub strike: f64,
    pub rate: f64,
    pub volatility: f64,
    pub maturity: f64,
    pub steps: usize,
    pub dividend_yield: f64,
}
Expand description

Binomial tree model for option pricing

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§spot: f64

Spot price (current value)

§strike: f64

Strike price (exercise cost)

§rate: f64

Risk-free rate (annual)

§volatility: f64

Volatility (annual)

§maturity: f64

Time to maturity (years)

§steps: usize

Number of time steps

§dividend_yield: f64

Dividend yield (continuous)

Implementations§

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impl BinomialTree

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pub const fn new( spot: f64, strike: f64, rate: f64, volatility: f64, maturity: f64, steps: usize, ) -> Self

Create a new binomial tree model

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pub const fn with_dividend_yield(self, yield_rate: f64) -> Self

Set dividend yield

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pub fn call_price(&self, style: OptionStyle) -> f64

Price a call option

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pub fn put_price(&self, style: OptionStyle) -> f64

Price a put option

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pub fn defer_option_value(&self, max_deferral: f64, exercise_cost: f64) -> f64

Price a defer option (option to wait)

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pub fn expand_option_value( &self, expansion_factor: f64, exercise_cost: f64, ) -> f64

Price an expand option

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pub fn abandon_option_value(&self, salvage_value: f64) -> f64

Price an abandon option

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pub fn contract_option_value( &self, contraction_factor: f64, cost_savings: f64, ) -> f64

Price a contract option

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pub fn early_exercise_boundary(&self, is_call: bool) -> Vec<(f64, f64)>

Get early exercise boundary (for American options)

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