Skip to content
New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

Sign up for GitHub

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

Add BinomialTreeModel for Option Pricing by Feature/binomial tree models #1

Merged
merged 3 commits into from
Jul 27, 2024
Merged

Add BinomialTreeModel for Option Pricing by Feature/binomial tree models #1

Show file tree
Hide file tree
Changes from all commits
Commits
Show all changes
3 commits
Select commit Hold shift + click to select a range
ed8d068
#binomial tree Model init
Liberxue Jul 26, 2024
1247051
add binomial tree models docs && add unit test
Liberxue Jul 27, 2024
fbb14ec
Refactor binomial tree model to use enum for price initialization
Liberxue Jul 27, 2024
File filter

Filter by extension

Filter by extension
Conversations
Failed to load comments.
Loading
Jump to
Jump to file
Failed to load files.
Loading
Diff view
Diff view
3 changes: 1 addition & 2 deletions .github/workflows/rust.yml
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -19,8 +19,7 @@ jobs:
override: true

- name: Check
run: cargo check --workspace --verbose
run: cargo check --workspace --verbose

- name: Run tests
run: cargo test --workspace --verbose

116 changes: 1 addition & 115 deletions Cargo.lock
View file
Open in desktop

Some generated files are not rendered by default. Learn more about how customized files appear on GitHub.

8 changes: 8 additions & 0 deletions Cargo.toml
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -4,7 +4,15 @@ version = "0.1.0"
edition = "2021"

[workspace]
resolver = "2"

members = ["core", "bench", "cli", "providers"]

[workspace.package]
edition = "2021"
version = "0.14.0"
readme = "README.md"
license = "Apache-2.0"

[dependencies]

161 changes: 6 additions & 155 deletions README.md
View file
Open in desktop
Original file line number Diff line number Diff line change
@@ -1,161 +1,12 @@
The Certificate in Quantitative Finance | CQF For Rust Example
<div align="center">
[![Rust Version](https://img.shields.io/badge/Rust-1.79.0+-blue)](https://releases.rs/docs/1.79.0)
---

**Custom Neuron Decision-Making and Visual Workflow Orchestration Quantitative**

# Example -> Option Strategies
<br/>
</div>

## Single Leg Option

**Documentation:**
[Investopedia - Single Leg Option](https://www.investopedia.com/terms/s/single-option.aspx)

**Example:**

```rust
let call_price = SingleLegOption::call(&model, s, k, r, sigma, t);
let put_price = SingleLegOption::put(&model, s, k, r, sigma, t);
```

## Butterfly Spread

**Documentation:**
[Investopedia - Butterfly Spread](https://www.investopedia.com/terms/b/butterflyspread.asp)

**Example:**

```rust
let butterfly_spread = ButterflySpread::new(&model, s, k1, k2, k3, r, sigma, t);
let price = butterfly_spread.price();
```

## Vertical Spread

**Documentation:**
[Investopedia - Vertical Spread](https://www.investopedia.com/terms/v/verticalspread.asp)

**Example:**

```rust
let bull_call_spread = VerticalSpread::new(&model, s, k1, k2, r, sigma, t, true);
let bear_put_spread = VerticalSpread::new(&model, s, k1, k2, r, sigma, t, false);
```
## Covered Call

**Documentation:**
[Investopedia - Covered Call](https://www.investopedia.com/terms/c/coveredcall.asp)

**Example:**

```rust
let covered_call = CoveredCall::new(&model, s, k, r, sigma, t);
let price = covered_call.price();
```
## Collar

**Documentation:**
[Investopedia - Collar](https://www.investopedia.com/terms/c/collar.asp)

**Example:**

```rust
let collar = Collar::new(&model, s, k1, k2, r, sigma, t);
let price = collar.price();
```

## Straddle

**Documentation:**
[Investopedia - Straddle](https://www.investopedia.com/terms/s/straddle.asp)

**Example:**

```rust
let straddle = Straddle::new(&model, s, k, r, sigma, t);
let price = straddle.price();
```

## Strangle

**Documentation:**
[Investopedia - Strangle](https://www.investopedia.com/terms/s/strangle.asp)

**Example:**

```rust
let strangle = Strangle::new(&model, s, k1, k2, r, sigma, t);
let price = strangle.price();
```

## Calendar Spread

**Documentation:**
[Investopedia - Calendar Spread](https://www.investopedia.com/terms/c/calendarspread.asp)

**Example:**

```rust
let calendar_spread = CalendarSpread::new(&model, s, k, r, sigma, t1, t2);
let price = calendar_spread.price();
```

## Diagonal Spread

**Documentation:**
[Investopedia - Diagonal Spread](https://www.investopedia.com/terms/d/diagonalspread.asp)

**Example:**

```rust
let diagonal_spread = DiagonalSpread::new(&model, s, k1, k2, r, sigma, t1, t2);
let price = diagonal_spread.price();
```

## Condor

**Documentation:**
[Investopedia - Condor](https://www.investopedia.com/terms/c/condor.asp)

**Example:**

```rust
let condor = Condor::new(&model, s, k1, k2, k3, k4, r, sigma, t);
let price = condor.price();
```

## Iron Butterfly

**Documentation:**
[Investopedia - Iron Butterfly](https://www.investopedia.com/terms/i/ironbutterfly.asp)

**Example:**

```rust
let iron_butterfly = IronButterfly::new(&model, s, k1, k2, k3, r, sigma, t);
let price = iron_butterfly.price();
```

## Iron Condor

**Documentation:**
[Investopedia - Iron Condor](https://www.investopedia.com/terms/i/ironcondor.asp)

**Example:**

```rust
let iron_condor = IronCondor::new(&model, s, k1, k2, k3, k4, r, sigma, t);
let price = iron_condor.price();
```

## Dance

**Documentation:**
[Investopedia - Dance](https://www.investopedia.com/terms/d/dance.asp)

**Example:**

```rust
let dance = Dance::new(&model, s, k1, k2, k3, r, sigma, t);
let price = dance.price();
```
# Contributing

Contributions are welcome! Please open an issue or submit a pull request for any improvements or new features.
Expand Down
Loading
Loading