added npv of equity forward

Author: siddharthqs

README.md

@@ -47,6 +47,8 @@ Files are in JSON format and can be easily edited with any text editor.
 
 ### Instruments:
 #### Equity
+- [x] Equity Forward
+- [x] Equity Future
 - [x] Equity Option
 - [ ] Equity Forward Start Option
 - [ ] Equity Basket
@@ -57,7 +59,7 @@ Files are in JSON format and can be easily edited with any text editor.
 - [ ] Equity Chooser
 #### Interest Rate
 - [x] Deposit
-- [x] FRA
+- [ ] FRA
 - [ ] Interest Rate Swap
 #### Commodities
 - [x] Commodity Option

src/core/utils.rs

@@ -47,7 +47,9 @@ pub struct MarketData {
     pub maturity:String,
     pub dividend: Option<f64>,
     pub simulation:Option<u64>,
-    pub current_price:Option<f64>
+    pub current_price:Option<f64>,
+    pub notional: Option<f64>,
+    pub long_short:Option<i32>
 }
 
 #[derive(Clone,Debug,Deserialize,Serialize)]

src/equity/equity_forward.rs

@@ -1,14 +1,76 @@
-use chrono::NaiveDate;
+use chrono::{Local, NaiveDate};
 use crate::core::quotes::Quote;
+use crate::core::traits::Instrument;
+use crate::core::utils::Contract;
+use crate::equity::equity_future::EquityFuture;
 use crate::equity::utils::LongShort;
+///A forward contract is an agreement between two parties to buy or sell, as the case may be,
+/// a commodity (or financial instrument or currency or any other underlying)
+/// on a pre-determined future date at a price agreed when the contract is entered into.
 pub struct EquityForward {
     pub underlying_price: Quote,
-    pub forward_price: Quote,
+    pub forward_price: Quote, //Forward price you actually locked in.
     pub risk_free_rate: f64,
     pub dividend_yield: f64,
     pub maturity_date: NaiveDate,
     pub valuation_date: NaiveDate,
     pub long_short:LongShort,
     pub notional:f64
 }
+impl EquityForward  {
+    pub fn from_json(data: &Contract) -> Box<Self> {
+        let market_data = data.market_data.as_ref().unwrap();
+        //let future_date = NaiveDate::parse_from_str(&maturity_date, "%Y-%m-%d").expect("Invalid date format");
+        let today = Local::today();
+        let maturity_date = NaiveDate::parse_from_str(&market_data.maturity, "%Y-%m-%d")
+            .expect("Invalid maturity date");
+
+        let underlying_price = Quote::new(market_data.underlying_price);
+        let quote = Some(market_data.current_price).unwrap();
+        let current_quote = Quote::new(quote.unwrap_or(0.0));
+        let risk_free_rate = Some(market_data.risk_free_rate).unwrap();
+        let dividend = Some(market_data.dividend).unwrap();
+        let long_short = market_data.long_short.unwrap();
+        let position = match long_short{
+            1=>LongShort::LONG,
+            -1=>LongShort::SHORT,
+            _=>LongShort::LONG,
+        };
+        Box::new(Self {
+            underlying_price: underlying_price,
+            forward_price:current_quote,
+            risk_free_rate: risk_free_rate.unwrap_or(0.0),
+            dividend_yield: dividend.unwrap_or(0.0),
+            maturity_date: maturity_date,
+            valuation_date: today.naive_utc(),
+            notional:market_data.notional.unwrap_or(1.0),
+            long_short:position
+        })
+    }
+
+    fn time_to_maturity(&self) -> f64 {
+        let days = (self.maturity_date - self.valuation_date).num_days();
+        (days as f64) / 365.0
+    }
+    fn premiun(&self)->f64{
+        self.forward()-self.underlying_price.value()
+    }
+    fn forward(&self)->f64{
+        let discount_df = 1.0/(self.risk_free_rate*self.time_to_maturity()).exp();
+        let dividend_df = 1.0/(self.dividend_yield*self.time_to_maturity()).exp();
+        let forward = self.underlying_price.value()*dividend_df/discount_df;
+        forward
+    }
+}
+impl Instrument for EquityForward {
+    fn npv(&self) -> f64 {
+        // e −r(T−t) (Ft −K),
+        let df_r = 1.0/(self.risk_free_rate*self.time_to_maturity()).exp();
+        match self.long_short{
+            LongShort::LONG => (self.forward()-self.forward_price.value()) * self.notional*df_r,
+            LongShort::SHORT => -(self.forward()-self.forward_price.value()) * self.notional*df_r,
+        }
+
+    }
+}
 

src/equity/equity_future.rs

@@ -3,7 +3,7 @@ use chrono::{Datelike, Local, NaiveDate};
 use crate::core::quotes::Quote;
 use crate::core::traits::Instrument;
 use crate::core::utils::{Contract,ContractStyle};
-use crate::equity::vanila_option::EquityOption;
+//use crate::equity::vanila_option::EquityOption;
 
 pub struct EquityFuture {
     pub underlying_price: Quote,