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common.rs
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common.rs
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use std::f64::consts::PI;
pub fn d1(s0: f64, x: f64, t: f64, r: f64, q: f64, sigma: f64) -> f64 {
let ln = (s0 / x).ln();
let t_num = t * (r - q + (sigma.powf(2f64) / 2f64));
return (ln + t_num) / (sigma * t.sqrt());
}
pub fn d2(s0: f64, x: f64, t: f64, r: f64, q: f64, sigma: f64) -> f64 {
let d1 = d1(s0, x, t, r, q, sigma);
return d1 - (t.sqrt() * sigma);
}
pub fn d2_d1(t: f64, sigma: f64, d1: f64) -> f64 {
return d1 - (t.sqrt() * sigma);
}
pub fn one_over_sqrt_pi() -> f64 {
return 1.0 / (2.0 * PI).sqrt();
}
#[cfg(test)]
mod tests {
use common::*;
const UNDERLYING: f64 = 64.68;
const STRIKE: f64 = 65.00;
const VOL: f64 = 0.5051;
const INTEREST_RATE: f64 = 0.0150;
const DIV_YIELD: f64 = 0.0210;
const DAYS_PER_YEAR: f64 = 365.0;
const TIME_TO_EXPIRY: f64 = 23.0 / DAYS_PER_YEAR;
const E_D1: f64 = 0.0214;
const E_D2: f64 = -0.1053;
#[test]
fn test_d1() {
let d1 = d1(UNDERLYING,
STRIKE,
TIME_TO_EXPIRY,
INTEREST_RATE,
DIV_YIELD,
VOL);
let abs = (d1 - E_D1).abs();
assert!(abs < 0.001);
}
#[test]
fn test_d2() {
let d2 = d2(UNDERLYING,
STRIKE,
TIME_TO_EXPIRY,
INTEREST_RATE,
DIV_YIELD,
VOL);
let abs = (d2 - E_D2).abs();
assert!(abs < 0.001);
}
}