added long short for future

Author: siddharthqs

src/core/utils.rs

@@ -49,7 +49,9 @@ pub struct MarketData {
     pub simulation:Option<u64>,
     pub current_price:Option<f64>,
     pub notional: Option<f64>,
-    pub long_short:Option<i32>
+    pub long_short:Option<i32>,
+    pub multiplier:Option<f64>,
+    pub entry_price:Option<f64>,
 }
 
 #[derive(Clone,Debug,Deserialize,Serialize)]

src/equity/equity_forward.rs

@@ -26,19 +26,19 @@ impl EquityForward  {
             .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 quote = Some(market_data.entry_price).unwrap();
+        let entry_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 long_short = market_data.long_short.unwrap_or(1);
         let position = match long_short{
             1=>LongShort::LONG,
             -1=>LongShort::SHORT,
             _=>LongShort::LONG,
         };
         Box::new(Self {
             underlying_price: underlying_price,
-            forward_price:current_quote,
+            forward_price:entry_quote,
             risk_free_rate: risk_free_rate.unwrap_or(0.0),
             dividend_yield: dividend.unwrap_or(0.0),
             maturity_date: maturity_date,
@@ -66,9 +66,10 @@ 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();
+        let share = self.notional/self.forward_price.value();
         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,
+            LongShort::LONG => (self.forward()-self.forward_price.value()) * share *df_r,
+            LongShort::SHORT => -(self.forward()-self.forward_price.value()) * share *df_r,
         }
 
     }

src/equity/equity_future.rs

@@ -3,15 +3,20 @@ use chrono::{Datelike, Local, NaiveDate};
 use crate::core::quotes::Quote;
 use crate::core::traits::Instrument;
 use crate::core::utils::{Contract,ContractStyle};
+use crate::equity::utils::LongShort;
 //use crate::equity::vanila_option::EquityOption;
 
 pub struct EquityFuture {
     pub underlying_price: Quote,
     pub current_price: Quote,
+    pub entry_price: f64,
+    pub multiplier: f64,
     pub risk_free_rate: f64,
     pub dividend_yield: f64,
     pub maturity_date: NaiveDate,
     pub valuation_date: NaiveDate,
+    pub long_short:LongShort,
+
 }
 
 impl EquityFuture {
@@ -27,29 +32,52 @@ impl EquityFuture {
         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_or(1);
+        let position = match long_short{
+            1=>LongShort::LONG,
+            -1=>LongShort::SHORT,
+            _=>LongShort::LONG,
+        };
         Box::new(Self {
             underlying_price: underlying_quote,
             current_price:current_quote,
+            entry_price: market_data.entry_price.unwrap(),
+            multiplier: market_data.multiplier.unwrap(),
             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(),
+            long_short:position
         })
     }
-
+    fn notional(&self) -> f64 {
+        self.multiplier * self.current_price.value()
+    }
     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.current_price.value()-self.underlying_price.value()
     }
+    fn pnl(&self)->f64{
+        let pnl = (self.current_price.value()-self.entry_price)*self.multiplier;
+        match self.long_short {
+            LongShort::LONG => pnl,
+            LongShort::SHORT => -pnl,
+            _=>0.0,
+        }
+    }
+    fn forward_price(&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 EquityFuture {
     fn npv(&self) -> f64 {
-        // F_0 = S_0 * e^{(r - q)*t}
-        let t = self.time_to_maturity();
-        self.underlying_price.value() * ((self.risk_free_rate - self.dividend_yield) * t).exp()
+        self.pnl()
     }
 }
 impl EquityFuture{
@@ -58,5 +86,4 @@ impl EquityFuture{
     pub fn vega(&self) -> f64  { 0.0 }
     pub fn theta(&self) -> f64 { 0.0 }
     pub fn rho(&self) -> f64   { 0.0 }
-}
-// }
+}

src/examples/EQ/equity_forward.json

@@ -1,19 +1,36 @@
 {"asset":"EQ",
   "contracts" : [
-{
-  "action":"PV",
-  "pricer":"Analytical",
-  "asset":"EQ",
-  "product_type": "Option",
-  "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": "Analytical",
+      "asset": "EQ",
+      "product_type": "Forward",
+      "payoff_type": "Vanilla",
+      "market_data": {
+        "underlying_price": 96.0,
+        "entry_price": 103.0,
+        "risk_free_rate": 0.06,
+        "maturity": "2025-03-31",
+        "dividend": 0.01,
+        "notional": 10000,
+        "long_short": 1
+      }
+    },
+    {
+      "action":"PV",
+      "pricer":"Analytical",
+      "asset":"EQ",
+      "product_type": "Future",
+      "payoff_type": "Vanilla",
+      "market_data":{
+        "underlying_price":96.0,
+        "current_price": 99.0,
+        "entry_price": 103.0,
+        "risk_free_rate":0.06,
+        "maturity":"2025-03-31",
+        "dividend": 0.01,
+        "multiplier": 1000,
+        "long_short": -1
+      }
+  }]
 }