Skip to content

Commit 6d7a75b

Browse files
siddharthqssiddharthqs
committed
# Conflicts: # Cargo.lock
2 parents d9b40dc + 571c0c3 commit 6d7a75b

File tree

17 files changed

+1995
-683
lines changed

17 files changed

+1995
-683
lines changed

‎Cargo.lock‎

Lines changed: 827 additions & 0 deletions
Some generated files are not rendered by default. Learn more about customizing how changed files appear on GitHub.

‎src/core/utils.rs‎

Lines changed: 5 additions & 0 deletions
Original file line numberDiff line numberDiff line change
@@ -20,6 +20,10 @@ pub enum EngineType {
2020
FiniteDifference,
2121
FFT,
2222
}
23+
pub trait Engine<I> {
24+
fn npv(&self, instrument: &I) -> f64;
25+
}
26+
2327
impl EngineType {
2428
pub fn as_str(&self) -> &'static str {
2529
match self {
@@ -62,6 +66,7 @@ pub struct Contract {
6266
pub action: String,
6367
pub pricer: String,
6468
pub asset: String,
69+
pub payoff_type:Option<String>,
6570
pub style: Option<String>,
6671
pub market_data: Option<MarketData>,
6772
pub rate_data: Option<RateData>,

‎src/equity/binary_option.rs‎

Lines changed: 193 additions & 0 deletions
Original file line numberDiff line numberDiff line change
@@ -0,0 +1,193 @@
1+
// use std::fmt::Binary;
2+
// use chrono::{Datelike, Local, NaiveDate};
3+
// use crate::equity::{binomial,finite_difference,montecarlo};
4+
// use super::super::core::termstructure::YieldTermStructure;
5+
// use super::super::core::quotes::Quote;
6+
// use super::super::core::traits::{Instrument,Greeks};
7+
// use super::blackscholes;
8+
// use crate::equity::utils::{Engine};
9+
// use crate::core::trade::{OptionType,Transection};
10+
// use crate::core::utils::{Contract,ContractStyle};
11+
// use crate::core::trade;
12+
// impl Instrument for BinaryOption {
13+
// fn npv(&self) -> f64 {
14+
// match self.engine{
15+
// Engine::BlackScholes => {
16+
// let value = blackscholes::npv(&self);
17+
// value
18+
// }
19+
// Engine::MonteCarlo => {
20+
//
21+
// let value = montecarlo::npv(&self,false);
22+
// value
23+
// }
24+
// Engine::Binomial => {
25+
//
26+
// let value = binomial::npv(&self);
27+
// value
28+
// }
29+
// Engine::FiniteDifference => {
30+
// let value = finite_difference::npv(&self);
31+
// value
32+
// }
33+
//
34+
// }
35+
// }
36+
// }
37+
// /// This struct represents a real world equity option contract
38+
// #[derive(Debug)]
39+
// pub struct BinaryOption {
40+
// pub option_type: OptionType,
41+
// pub payoff_type: String,
42+
// pub binary_type: String,
43+
// pub transection: Transection,
44+
// pub underlying_price: Quote,
45+
// pub current_price: Quote,
46+
// pub strike_price: f64,
47+
// pub dividend_yield: f64,
48+
// pub volatility: f64,
49+
// pub maturity_date: NaiveDate,
50+
// pub valuation_date: NaiveDate,
51+
// pub term_structure: YieldTermStructure<f64>,
52+
// pub risk_free_rate: f64,
53+
// pub transection_price: f64,
54+
// pub engine: Engine,
55+
// pub simulation:Option<u64>,
56+
// pub style: ContractStyle,
57+
// }
58+
// impl BinaryOption{
59+
// pub fn time_to_maturity(&self) -> f64{
60+
// let time_to_maturity = (self.maturity_date - self.valuation_date).num_days() as f64/365.0;
61+
// time_to_maturity
62+
// }
63+
// }
64+
// impl BinaryOption {
65+
// pub fn from_json(data: &Contract) -> Box<BinaryOption> {
66+
// let market_data = data.market_data.as_ref().unwrap();
67+
// let underlying_quote = Quote::new(market_data.underlying_price);
68+
// //TODO: Add term structure
69+
// let date = vec![0.01, 0.02, 0.05, 0.1, 0.5, 1.0, 2.0, 3.0];
70+
// let rates = vec![0.05,0.05,0.05,0.05,0.05,0.05,0.05,0.05];
71+
// let ts = YieldTermStructure::new(date, rates);
72+
// let option_type = &market_data.option_type;
73+
// let side: OptionType;
74+
// match option_type.trim() {
75+
// "C" | "c" | "Call" | "call" => side = OptionType::Call,
76+
// "P" | "p" | "Put" | "put" => side = OptionType::Put,
77+
// _ => panic!("Invalide side argument! Side has to be either 'C' or 'P'."),
78+
// }
79+
// let maturity_date = &market_data.maturity;
80+
// let today = Local::today();
81+
// let future_date = NaiveDate::parse_from_str(&maturity_date, "%Y-%m-%d").expect("Invalid date format");
82+
//
83+
// let risk_free_rate = Some(market_data.risk_free_rate).unwrap();
84+
// let dividend = Some(market_data.dividend).unwrap();
85+
// //let mut op = 0.0;
86+
//
87+
// let option_price = Quote::new(match market_data.option_price {
88+
// Some(x) => x,
89+
// None => 0.0,
90+
// });
91+
// //let volatility = Some(market_data.volatility);
92+
// let volatility = match market_data.volatility {
93+
// Some(x) => {
94+
// x
95+
// }
96+
// None => 0.2
97+
// };
98+
// let mut option = BinaryOption {
99+
// option_type: side,
100+
// transection: Transection::Buy,
101+
// underlying_price: underlying_quote,
102+
// current_price: option_price,
103+
// strike_price: market_data.strike_price,
104+
// volatility: volatility,
105+
// maturity_date: future_date,
106+
// risk_free_rate: risk_free_rate.unwrap_or(0.0),
107+
// dividend_yield: dividend.unwrap_or(0.0),
108+
// transection_price: 0.0,
109+
// term_structure: ts,
110+
// engine: Engine::BlackScholes,
111+
// simulation: None,
112+
// style: ContractStyle::European,
113+
// valuation_date: today.naive_utc(),
114+
// };
115+
// match data.pricer.trim() {
116+
// "Analytical" | "analytical"|"bs" => {
117+
// option.engine = Engine::BlackScholes;
118+
// }
119+
// "MonteCarlo" | "montecarlo" | "MC"|"mc" => {
120+
// option.engine = Engine::MonteCarlo;
121+
// }
122+
// "Binomial" | "binomial"|"bino" => {
123+
// option.engine = Engine::Binomial;
124+
// }
125+
// "FiniteDifference" | "finitdifference" |"FD" |"fd" => {
126+
// option.engine = Engine::FiniteDifference;
127+
// }
128+
// _ => {
129+
// panic!("Invalid pricer");
130+
// }
131+
// }
132+
// match data.style.as_ref().unwrap_or(&"European".to_string()).trim() {
133+
// "European" | "european" => {
134+
// option.style = ContractStyle::European;
135+
// }
136+
// "American" | "american" => {
137+
// option.style = ContractStyle::American;
138+
// }
139+
// _ => {
140+
// option.style = ContractStyle::European;
141+
// }
142+
// }
143+
// option.set_risk_free_rate();
144+
// return Box::new(option);
145+
// }
146+
// }
147+
//
148+
// #[cfg(test)]
149+
// mod tests {
150+
// //write a unit test for from_json
151+
// use super::*;
152+
// use crate::core::utils::{Contract,MarketData};
153+
// use crate::core::trade::OptionType;
154+
// use crate::core::trade::Transection;
155+
// use crate::core::utils::ContractStyle;
156+
// use crate::core::termstructure::YieldTermStructure;
157+
// use crate::core::quotes::Quote;
158+
// use chrono::{Datelike, Local, NaiveDate};
159+
// #[test]
160+
// fn test_from_json() {
161+
// let data = Contract {
162+
// action: "PV".to_string(),
163+
// market_data: Some(MarketData {
164+
// underlying_price: 100.0,
165+
// strike_price: 100.0,
166+
// volatility: None,
167+
// option_price: Some(10.0),
168+
// risk_free_rate: Some(0.05),
169+
// dividend: Some(0.0),
170+
// maturity: "2024-01-01".to_string(),
171+
// option_type: "C".to_string(),
172+
// simulation: None
173+
// }),
174+
// pricer: "Analytical".to_string(),
175+
// asset: "".to_string(),
176+
// style: Some("European".to_string()),
177+
// rate_data: None
178+
// };
179+
// let option = BinaryOption::from_json(&data);
180+
// assert_eq!(option.option_type, OptionType::Call);
181+
// assert_eq!(option.transection, Transection::Buy);
182+
// assert_eq!(option.underlying_price.value, 100.0);
183+
// assert_eq!(option.strike_price, 100.0);
184+
// assert_eq!(option.current_price.value, 10.0);
185+
// assert_eq!(option.dividend_yield, 0.0);
186+
// assert_eq!(option.volatility, 0.2);
187+
// assert_eq!(option.maturity_date, NaiveDate::from_ymd(2024, 1, 1));
188+
// assert_eq!(option.valuation_date, Local::today().naive_utc());
189+
// assert_eq!(option.engine, Engine::BlackScholes);
190+
// assert_eq!(option.style, ContractStyle::European);
191+
// }
192+
// }
193+
//

‎src/equity/binomial.rs‎

Lines changed: 71 additions & 71 deletions
Original file line numberDiff line numberDiff line change
@@ -1,36 +1,36 @@
11
//extern crate ndarray;
22
use super::vanila_option::{EquityOption};
3-
use super::utils::{Engine};
3+
use super::utils::{Engine, Payoff};
44
use crate::core::trade::{OptionType,Transection};
55
use crate::core::utils::{ContractStyle};
66
use ndarray::Array2;
77

88
/// Binomial tree model for European and American options
9-
pub fn npv(option: &&EquityOption) -> f64 {
10-
assert!(option.volatility >= 0.0);
9+
pub fn npv(option: &EquityOption) -> f64 {
10+
assert!(option.base.volatility >= 0.0);
1111
assert!(option.time_to_maturity() >= 0.0);
12-
assert!(option.underlying_price.value >= 0.0);
12+
assert!(option.base.underlying_price.value >= 0.0);
1313
let num_steps = 1000;
1414

1515
let dt = option.time_to_maturity() / num_steps as f64;
16-
let discount_factor = (-option.risk_free_rate * dt).exp();
16+
let discount_factor = (-option.base.risk_free_rate * dt).exp();
1717
// Calculate parameters for the binomial tree
18-
let u = (option.volatility*dt.sqrt()).exp(); //up movement
18+
let u = (option.base.volatility*dt.sqrt()).exp(); //up movement
1919
let d = 1.0 / u; //down movement
20-
let a_factor = ((option.risk_free_rate-option.dividend_yield) * dt).exp();
20+
let a_factor = ((option.base.risk_free_rate-option.base.dividend_yield) * dt).exp();
2121
let p = (a_factor - d) / (u - d); //martingale probability
2222
// Create a 2D array to represent the binomial tree
2323
let mut tree = Array2::from_elem((num_steps + 1, num_steps + 1), 0.0);
2424
//println!("{:?}",tree);
2525
// Calculate option prices at the final time step (backward induction)
26-
let multiplier = if option.option_type == OptionType::Call { 1.0 } else { -1.0 };
26+
let multiplier = if option.payoff.option_type() == OptionType::Call { 1.0 } else { -1.0 };
2727

2828
for j in 0..=num_steps {
29-
let spot_price_j = option.underlying_price.value * u.powi(num_steps as i32 - j as i32) * d.powi(j as i32);
30-
tree[[j,num_steps]] = (multiplier*(spot_price_j - option.strike_price)).max(0.0);
29+
let spot_price_j = option.base.underlying_price.value * u.powi(num_steps as i32 - j as i32) * d.powi(j as i32);
30+
tree[[j,num_steps]] = (multiplier*(spot_price_j - option.base.strike_price)).max(0.0);
3131
}
3232

33-
match option.style {
33+
match option.base.style {
3434
ContractStyle::European => {
3535
for i in (0..num_steps).rev() {
3636
for j in 0..=i {
@@ -46,10 +46,10 @@ pub fn npv(option: &&EquityOption) -> f64 {
4646

4747
for i in (0..num_steps).rev() {
4848
for j in 0..=i {
49-
let spot_price_i = option.underlying_price.value * u.powi(i as i32 - j as i32) * d.powi(j as i32);
49+
let spot_price_i = option.base.underlying_price.value * u.powi(i as i32 - j as i32) * d.powi(j as i32);
5050
//let intrinsic_value = (multiplier*(spot_price_i - option.strike_price)).max(0.0);
5151
let discounted_option_price = discount_factor * (p * tree[[ j,i+1]] + (1.0 - p) * tree[[ j + 1,i+1]]);
52-
tree[[j,i]] = (multiplier*(spot_price_i - option.strike_price)).max(discounted_option_price);
52+
tree[[j,i]] = (multiplier*(spot_price_i - option.base.strike_price)).max(discounted_option_price);
5353
}
5454
}
5555

@@ -65,61 +65,61 @@ pub fn npv(option: &&EquityOption) -> f64 {
6565

6666
// Write a unit test for the binomial tree model
6767

68-
#[cfg(test)]
69-
mod tests {
70-
use assert_approx_eq::assert_approx_eq;
71-
use super::*;
72-
use crate::core::utils::{Contract,MarketData};
73-
use crate::core::trade::{OptionType,Transection};
74-
use crate::core::utils::{ContractStyle};
75-
use crate::equity::vanila_option::{EquityOption};
76-
77-
use chrono::{NaiveDate};
78-
use crate::core::traits::Instrument;
79-
80-
81-
#[test]
82-
fn test_binomial_tree() {
83-
let mut data = Contract {
84-
action: "PV".to_string(),
85-
market_data: Some(MarketData {
86-
underlying_price: 100.0,
87-
strike_price: 100.0,
88-
volatility: Some(0.3),
89-
option_price: Some(10.0),
90-
risk_free_rate: Some(0.05),
91-
dividend: Some(0.0),
92-
maturity: "2024-01-01".to_string(),
93-
option_type: "C".to_string(),
94-
simulation: None
95-
}),
96-
pricer: "Binomial".to_string(),
97-
asset: "".to_string(),
98-
style: Some("European".to_string()),
99-
rate_data: None
100-
};
101-
let mut option = EquityOption::from_json(&data);
102-
option.valuation_date = NaiveDate::from_ymd(2023, 11, 06);
103-
//Call European test
104-
let npv = option.npv();
105-
assert_approx_eq!(npv, 5.058163, 1e-6);
106-
//Call American test
107-
option.option_type = OptionType::Call;
108-
option.style = ContractStyle::American;
109-
let npv = option.npv();
110-
assert_approx_eq!(npv, 5.058163, 1e-6);
111-
112-
//Put European test
113-
option.option_type = OptionType::Put;
114-
option.style = ContractStyle::European;
115-
option.valuation_date = NaiveDate::from_ymd(2023, 11, 07);
116-
let npv = option.npv();
117-
assert_approx_eq!(npv, 4.259022688, 1e-6);
118-
119-
//Put American test
120-
option.option_type = OptionType::Put;
121-
option.style = ContractStyle::American;
122-
let npv = option.npv();
123-
assert_approx_eq!(npv, 4.315832381, 1e-6);
124-
}
125-
}
68+
// #[cfg(test)]
69+
// mod tests {
70+
// use assert_approx_eq::assert_approx_eq;
71+
// use super::*;
72+
// use crate::core::utils::{Contract,MarketData};
73+
// use crate::core::trade::{OptionType,Transection};
74+
// use crate::core::utils::{ContractStyle};
75+
// use crate::equity::vanila_option::{EquityOption};
76+
//
77+
// use chrono::{NaiveDate};
78+
// use crate::core::traits::Instrument;
79+
//
80+
//
81+
// #[test]
82+
// fn test_binomial_tree() {
83+
// let mut data = Contract {
84+
// action: "PV".to_string(),
85+
// market_data: Some(MarketData {
86+
// underlying_price: 100.0,
87+
// strike_price: 100.0,
88+
// volatility: Some(0.3),
89+
// option_price: Some(10.0),
90+
// risk_free_rate: Some(0.05),
91+
// dividend: Some(0.0),
92+
// maturity: "2024-01-01".to_string(),
93+
// option_type: "C".to_string(),
94+
// simulation: None
95+
// }),
96+
// pricer: "Binomial".to_string(),
97+
// asset: "".to_string(),
98+
// style: Some("European".to_string()),
99+
// rate_data: None
100+
// };
101+
// let mut option = EquityOption::from_json(&data);
102+
// option.valuation_date = NaiveDate::from_ymd(2023, 11, 06);
103+
// //Call European test
104+
// let npv = option.npv();
105+
// assert_approx_eq!(npv, 5.058163, 1e-6);
106+
// //Call American test
107+
// option.option_type = OptionType::Call;
108+
// option.style = ContractStyle::American;
109+
// let npv = option.npv();
110+
// assert_approx_eq!(npv, 5.058163, 1e-6);
111+
//
112+
// //Put European test
113+
// option.option_type = OptionType::Put;
114+
// option.style = ContractStyle::European;
115+
// option.valuation_date = NaiveDate::from_ymd(2023, 11, 07);
116+
// let npv = option.npv();
117+
// assert_approx_eq!(npv, 4.259022688, 1e-6);
118+
//
119+
// //Put American test
120+
// option.option_type = OptionType::Put;
121+
// option.style = ContractStyle::American;
122+
// let npv = option.npv();
123+
// assert_approx_eq!(npv, 4.315832381, 1e-6);
124+
// }
125+
// }

0 commit comments

Comments
 (0)