fixed a bug on gamma

Author: siddharthqs

Cargo.lock

@@ -61,6 +61,7 @@ impl BlackScholesPricer {
         }
     }
     fn npv_vanilla(&self, bsd_option: &EquityOption) -> f64 {
+
         let n_d1 = N(bsd_option.base.d1());
         let n_d2 = N(bsd_option.base.d2());
         let df_d = exp(-bsd_option.base.dividend_yield * bsd_option.time_to_maturity());
@@ -94,13 +95,13 @@ impl BlackScholesPricer {
         let df_r = exp(-bsd_option.base.risk_free_rate * bsd_option.time_to_maturity());
         let num = dn_d1*(df_r/df_d);
         let var_sqrt = bsd_option.base.volatility * (bsd_option.time_to_maturity().sqrt());
-        return  num/ (bsd_option.base.current_price.value() * var_sqrt);
+        return  num/ (bsd_option.base.underlying_price.value() * var_sqrt);
     }
     fn vega_vanilla(&self, bsd_option: &EquityOption) -> f64 {
         let dn_d1 = dN(bsd_option.base.d1());
         let df_d = exp(-bsd_option.base.dividend_yield * bsd_option.time_to_maturity());
         let df_r = exp(-bsd_option.base.risk_free_rate * bsd_option.time_to_maturity());
-        let df_S = bsd_option.base.current_price.value()*df_r/df_d;
+        let df_S = bsd_option.base.underlying_price.value()*df_r/df_d;
         let vega = df_S * dn_d1 * bsd_option.time_to_maturity().sqrt();
         return vega;
     }
@@ -112,7 +113,7 @@ impl BlackScholesPricer {
         let n_d2 = N(bsd_option.base.d2());
         let df_d = exp(-bsd_option.base.dividend_yield * bsd_option.time_to_maturity());
         let df_r = exp(-bsd_option.base.risk_free_rate * bsd_option.time_to_maturity());
-        let df_S = bsd_option.base.current_price.value()*df_r/df_d;
+        let df_S = bsd_option.base.underlying_price.value()*df_r/df_d;
         let t1 = -df_S*dn_d1  * bsd_option.base.volatility
             / (2.0 * bsd_option.time_to_maturity().sqrt());
 

src/equity/blackscholes.rs

@@ -1,32 +1,33 @@
 {"contracts" : [
 {
-"action":"PV",
-"pricer":"Analytical",
-"asset":"EQ",
-"payoff_type": "Vanilla",
-"market_data":{
-"underlying_price":100,
-"option_type":"C",
-"strike_price":100,
-"volatility":0.4,
-"risk_free_rate":0.06,
-"maturity":"2023-12-31",
-"dividend": 0.01
-}
+  "action":"PV",
+  "pricer":"Analytical",
+  "asset":"EQ",
+  "payoff_type": "Vanilla",
+  "market_data":{
+    "underlying_price":100,
+    "option_type":"C",
+    "strike_price":100,
+    "volatility":0.4,
+    "risk_free_rate":0.06,
+    "maturity":"2025-03-31",
+    "dividend": 0.01
+  }
 },
-{
-"action":"PV",
-"pricer":"MonteCarlo",
-"asset":"EQ",
-"market_data":{
-"underlying_price":100,
-"option_type":"C",
-"strike_price":105,
-"volatility":0.45,
-"risk_free_rate":0.06,
-"maturity":"2023-12-31",
-"dividend": 0.01,
-"simulation":100000
-}}
+  {
+    "action":"PV",
+    "pricer":"Analytical",
+    "asset":"EQ",
+    "payoff_type": "Vanilla",
+    "market_data":{
+      "underlying_price":100,
+      "option_type":"P",
+      "strike_price":100,
+      "volatility":0.4,
+      "risk_free_rate":0.06,
+      "maturity":"2025-03-31",
+      "dividend": 0.01
+    }
+  }
 ]
 }