Struct OptionSeries 

pub struct OptionSeries {
    pub symbol: String,
    pub underlying_price: Positive,
    pub chains: BTreeMap<ExpirationDate, OptionChain>,
    pub risk_free_rate: Option<Decimal>,
    pub dividend_yield: Option<Positive>,
}

Represents a series of option chains for an underlying asset, providing detailed information about its options market and related financial data.

Fields

symbol: String

The ticker symbol for the underlying asset (e.g., “AAPL”, “SPY”).

underlying_price: Positive

The current market price of the underlying asset.

chains: BTreeMap<ExpirationDate, OptionChain>

A sorted collection of option chains, each corresponding to a different expiration date.

risk_free_rate: Option<Decimal>

The risk-free interest rate used for option pricing models.

dividend_yield: Option<Positive>

The annual dividend yield of the underlying asset.

Implementations

impl OptionSeries

pub fn new(symbol: String, underlying_price: Positive) -> Self

Creates a new instance of the struct with the specified symbol and underlying price.

Parameters

• symbol: A String representing the symbol of the entity being created (e.g., a stock or asset).
• underlying_price: A Positive value representing the current price of the underlying asset. This must be a positive value.

Returns

A new instance of the struct initialized with:

• The provided symbol and underlying_price.
• An empty chains field of type BTreeMap.
• None for both risk_free_rate and dividend_yield.

pub fn odte(&self) -> Option<OptionChain>

Retrieves the nearest expiring option chain from the collection of option chains.

Returns

• Some(OptionChain) if there is an option chain with the closest expiration date that is within 1 day or less.
• None if there are no option chains or if the nearest expiration date is more than 1 day away.

Behavior

The function checks the first key-value pair in the chains collection. If the expiration date is within one day (ExpirationDate::Days(Positive::ONE)), it returns a cloned instance of the corresponding OptionChain. Otherwise, it returns None.

Notes

• The chains collection must be ordered by expiration date for this function to work correctly.
• This method assumes that there is a defined threshold of “1 day” to determine closeness.

Errors

This function does not return errors but may return None if no conditions are met.

pub fn get_expiration_dates(&self) -> Result<Vec<Positive>, ChainError>

Retrieves the expiration dates associated with the chains.

This function iterates through the keys of the chains field, attempting to extract expiration dates by calling the get_days method on each key. The expiration dates are collected into a Vec<Positive> and returned. If any error occurs during this process, a boxed error is returned.

Returns

• Ok(Vec<Positive>) - A vector of expiration dates represented as Positive values if all operations succeed.
• Err(Box<dyn Error>) - A boxed error if any step in retrieving or mapping the keys fails.

Errors

This function will return an error if:

• The get_days method on any key fails.
• The process of mapping and collecting the keys fails.

pub fn build_series( params: &OptionSeriesBuildParams, ) -> Result<Self, ChainError>

Builds an option series object (Self) based on the provided parameters.

This method takes in an OptionSeriesBuildParams object, clones its data, and constructs a series of option chains for each expiration date specified in the input parameters. Each option chain is built and associated with its corresponding expiration date, and the resulting data is stored in a BTreeMap for ordered access.

Parameters

• params: A reference to an OptionSeriesBuildParams object, which contains configuration details such as series to generate, price parameters, symbol, and chain parameters.

Returns

A new instance of the object (Self) representing the constructed option series, which includes:

• symbol: The symbol associated with the series.
• underlying_price: The price of the underlying asset.
• chains: A BTreeMap mapping expiration dates (ExpirationDate) to their corresponding option chains (OptionChain).
• risk_free_rate: The risk-free interest rate, extracted from the input parameters, if specified.
• dividend_yield: The dividend yield of the underlying asset, extracted from the input parameters, if specified.

Process

1. Clones the input parameters for local modifications.
2. Iterates over each expiration date in the series field of the parameters.
3. For each expiration date:
   • Converts it into an ExpirationDate type.
   • Updates the chain parameters by setting the expiration date and resetting the strike interval.
   • Builds an individual option chain using the updated chain parameters.
   • Updates the expiration date string within the chain.
   • Inserts the constructed chain into the BTreeMap with its associated expiration date.
4. Constructs and returns the resulting instance of the option series with all computed data.

Notes

• This method assumes that valid expiration dates and series data are provided. Ensure proper validation of params before calling this method.
• The use of a BTreeMap ensures that the resulting chains are sorted based on the expiration dates.

Errors

Returns ChainError if:

• Failed to build any option chain in the series
• Failed to get date string from expiration date
• Missing underlying price in price params

pub fn to_build_params(&self) -> Result<OptionSeriesBuildParams, ChainError>

Converts the current object to OptionSeriesBuildParams.

This method performs the following steps:

1. Attempts to retrieve the first key-value pair from self.chains.
2. Fetches expiration dates by calling self.get_expiration_dates().
3. Extracts chain parameters by calling to_build_params on the first option chain (if found).
4. If no chains are available, returns an error indicating that no chains were found.

Returns

• On success, returns Ok(OptionSeriesBuildParams) which contains:
  • Chain parameters (chain_params) obtained from the first option chain.
  • Expiration dates (series).
• On failure, returns an Err wrapped in a Box<dyn Error> with appropriate error details.

Errors

• Returns an error if there are no chains in self.chains.
• Propagates any errors encountered by:
  • self.get_expiration_dates().
  • option_chain.to_build_params().

Related

• OptionSeriesBuildParams: The resulting struct after conversion.
• to_build_params(): Method on individual option_chain objects to extract parameters.

Trait Implementations

impl Clone for OptionSeries

fn clone(&self) -> OptionSeries

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl ComposeSchema for OptionSeries

fn compose(generics: Vec<RefOr<Schema>>) -> RefOr<Schema>

impl Debug for OptionSeries

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

Formats the value using the given formatter.

impl Default for OptionSeries

fn default() -> Self

Returns the “default value” for a type.

impl<'de> Deserialize<'de> for OptionSeries

fn deserialize<D>(deserializer: D) -> Result<Self, D::Error>

where D: Deserializer<'de>,

Deserialize this value from the given Serde deserializer.

impl Display for OptionSeries

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

Formats the value using the given formatter.

impl From<&OptionSeries> for Positive

fn from(value: &OptionSeries) -> Self

Converts to this type from the input type.

impl From<OptionSeries> for Positive

fn from(value: OptionSeries) -> Self

Converts to this type from the input type.

impl Len for OptionSeries

fn len(&self) -> usize

Returns the number of elements in the collection or the size of the object.

fn is_empty(&self) -> bool

Returns true if the collection contains no elements or the object has zero size.

impl Serialize for OptionSeries

fn serialize<S>(&self, serializer: S) -> Result<S::Ok, S::Error>

where S: Serializer,

Serialize this value into the given Serde serializer.

impl ToSchema for OptionSeries

fn name() -> Cow<'static, str>

Return name of the schema.

fn schemas(schemas: &mut Vec<(String, RefOr<Schema>)>)

Implement reference utoipa::openapi::schema::Schemas for this type.