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Merged
joaquinbejar merged 3 commits into from
Oct 4, 2024
Merged

Feature/positive f64 #11

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83f9828
**Change quantity type to PositiveF64**
joaquinbejar Oct 4, 2024
ba626af
Refactor quantites to use PositiveF64 type
joaquinbejar Oct 4, 2024
bf992c7
Add unit tests for PositiveF64 struct
joaquinbejar Oct 4, 2024
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4 changes: 3 additions & 1 deletion examples/option_graph.rs
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Original file line number Diff line number Diff line change
Expand Up @@ -5,7 +5,9 @@
******************************************************************************/
use optionstratlib::greeks::equations::Greeks;
use optionstratlib::model::option::Options;
use optionstratlib::model::types::PositiveF64;
use optionstratlib::model::types::{ExpirationDate, OptionStyle, OptionType, Side};
use optionstratlib::pos;
use optionstratlib::utils::logger::setup_logger;
use optionstratlib::visualization::utils::Graph;
use std::error::Error;
Expand All @@ -19,7 +21,7 @@ fn create_sample_option() -> Options {
100.0,
ExpirationDate::Days(30.0),
0.2,
1,
pos!(1.0),
105.0,
0.05,
OptionStyle::Call,
Expand Down
4 changes: 3 additions & 1 deletion examples/position_graph.rs
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Expand Up @@ -6,7 +6,9 @@
use chrono::Utc;
use optionstratlib::model::option::Options;
use optionstratlib::model::position::Position;
use optionstratlib::model::types::PositiveF64;
use optionstratlib::model::types::{ExpirationDate, OptionStyle, OptionType, Side};
use optionstratlib::pos;
use optionstratlib::visualization::utils::Graph;
use std::error::Error;

Expand All @@ -18,7 +20,7 @@ fn create_sample_option() -> Options {
100.0,
ExpirationDate::Days(30.0),
0.2,
10,
pos!(10.0),
105.0,
0.05,
OptionStyle::Call,
Expand Down
22 changes: 12 additions & 10 deletions examples/strategy_bull_call_spread.rs
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Expand Up @@ -4,6 +4,8 @@
Date: 25/9/24
******************************************************************************/
use optionstratlib::model::types::ExpirationDate;
use optionstratlib::model::types::PositiveF64;
use optionstratlib::pos;
use optionstratlib::strategies::base::Strategies;
use optionstratlib::strategies::bull_call_spread::BullCallSpread;
use optionstratlib::utils::logger::setup_logger;
Expand All @@ -22,16 +24,16 @@ fn main() -> Result<(), Box<dyn Error>> {
5750.0, // long_strike_itm
5820.0, // short_strike
ExpirationDate::Days(2.0),
0.18, // implied_volatility
0.05, // risk_free_rate
0.0, // dividend_yield
2, // long quantity
85.04, // premium_long
29.85, // premium_short
0.78, // open_fee_long
0.78, // open_fee_long
0.73, // close_fee_long
0.73, // close_fee_short
0.18, // implied_volatility
0.05, // risk_free_rate
0.0, // dividend_yield
pos!(2.0), // long quantity
85.04, // premium_long
29.85, // premium_short
0.78, // open_fee_long
0.78, // open_fee_long
0.73, // close_fee_long
0.73, // close_fee_short
);

let price_range = strategy.best_range_to_show(1.0).unwrap();
Expand Down
26 changes: 14 additions & 12 deletions examples/strategy_call_butterfly.rs
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Expand Up @@ -4,6 +4,8 @@
Date: 25/9/24
******************************************************************************/
use optionstratlib::model::types::ExpirationDate;
use optionstratlib::model::types::PositiveF64;
use optionstratlib::pos;
use optionstratlib::strategies::base::Strategies;
use optionstratlib::strategies::call_butterfly::CallButterfly;
use optionstratlib::utils::logger::setup_logger;
Expand All @@ -23,18 +25,18 @@ fn main() -> Result<(), Box<dyn Error>> {
5850.0, // long_strike_otm
5800.0, // short_strike
ExpirationDate::Days(2.0),
0.18, // implied_volatility
0.05, // risk_free_rate
0.0, // dividend_yield
1, // long quantity
2, // short_quantity
85.04, // premium_long
31.65, // premium_short
53.04, // open_fee_long
0.78, // open_fee_long
0.78, // close_fee_long
0.73, // close_fee_short
0.73, // close_fee_short
0.18, // implied_volatility
0.05, // risk_free_rate
0.0, // dividend_yield
pos!(1.0), // long quantity
pos!(2.0), // short_quantity
85.04, // premium_long
31.65, // premium_short
53.04, // open_fee_long
0.78, // open_fee_long
0.78, // close_fee_long
0.73, // close_fee_short
0.73, // close_fee_short
);

let price_range: Vec<f64> = (5681..=5881).map(|x| x as f64).collect();
Expand Down
26 changes: 14 additions & 12 deletions examples/strategy_call_butterfly_best_area.rs
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Expand Up @@ -6,6 +6,8 @@
use optionstratlib::constants::ZERO;
use optionstratlib::model::chain::OptionChain;
use optionstratlib::model::types::ExpirationDate;
use optionstratlib::model::types::PositiveF64;
use optionstratlib::pos;
use optionstratlib::strategies::base::Strategies;
use optionstratlib::strategies::call_butterfly::CallButterfly;
use optionstratlib::strategies::utils::FindOptimalSide;
Expand All @@ -26,18 +28,18 @@ fn main() -> Result<(), Box<dyn Error>> {
ZERO, // long_strike_otm
ZERO, // short_strike
ExpirationDate::Days(2.0),
ZERO, // implied_volatility
0.05, // risk_free_rate
ZERO, // dividend_yield
2, // long quantity
4, // short_quantity
ZERO, // premium_long_itm
ZERO, // premium_long_otm
ZERO, // premium_short
0.78, // open_fee_long
0.78, // close_fee_long
0.73, // close_fee_short
0.73, // close_fee_short
ZERO, // implied_volatility
0.05, // risk_free_rate
ZERO, // dividend_yield
pos!(2.0), // long quantity
pos!(4.0), // short_quantity
ZERO, // premium_long_itm
ZERO, // premium_long_otm
ZERO, // premium_short
0.78, // open_fee_long
0.78, // close_fee_long
0.73, // close_fee_short
0.73, // close_fee_short
);

strategy.best_area(&option_chain, FindOptimalSide::Upper);
Expand Down
26 changes: 14 additions & 12 deletions examples/strategy_call_butterfly_best_ratio.rs
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Expand Up @@ -6,6 +6,8 @@
use optionstratlib::constants::ZERO;
use optionstratlib::model::chain::OptionChain;
use optionstratlib::model::types::ExpirationDate;
use optionstratlib::model::types::PositiveF64;
use optionstratlib::pos;
use optionstratlib::strategies::base::Strategies;
use optionstratlib::strategies::call_butterfly::CallButterfly;
use optionstratlib::strategies::utils::FindOptimalSide;
Expand All @@ -26,18 +28,18 @@ fn main() -> Result<(), Box<dyn Error>> {
ZERO, // long_strike_otm
ZERO, // short_strike
ExpirationDate::Days(2.0),
ZERO, // implied_volatility
0.05, // risk_free_rate
ZERO, // dividend_yield
2, // long quantity
4, // short_quantity
ZERO, // premium_long_itm
ZERO, // premium_long_otm
ZERO, // premium_short
0.78, // open_fee_long
0.78, // close_fee_long
0.73, // close_fee_short
0.73, // close_fee_short
ZERO, // implied_volatility
0.05, // risk_free_rate
ZERO, // dividend_yield
pos!(2.0), // long quantity
pos!(4.0), // short_quantity
ZERO, // premium_long_itm
ZERO, // premium_long_otm
ZERO, // premium_short
0.78, // open_fee_long
0.78, // close_fee_long
0.73, // close_fee_short
0.73, // close_fee_short
);

strategy.best_ratio(&option_chain, FindOptimalSide::Range(5700.0, 5900.0));
Expand Down
4 changes: 3 additions & 1 deletion examples/strategy_graph.rs
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Expand Up @@ -4,6 +4,8 @@
Date: 20/8/24
******************************************************************************/
use optionstratlib::model::types::ExpirationDate;
use optionstratlib::model::types::PositiveF64;
use optionstratlib::pos;
use optionstratlib::strategies::base::Strategies;
use optionstratlib::strategies::bull_call_spread::BullCallSpread;
use optionstratlib::utils::logger::setup_logger;
Expand All @@ -22,7 +24,7 @@ fn main() -> Result<(), Box<dyn Error>> {
0.2,
0.05,
0.0,
1,
pos!(1.0),
27.26,
5.33,
0.58,
Expand Down
22 changes: 12 additions & 10 deletions examples/strategy_iron_condor.rs
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Original file line number Diff line number Diff line change
@@ -1,4 +1,6 @@
use optionstratlib::model::types::ExpirationDate;
use optionstratlib::model::types::PositiveF64;
use optionstratlib::pos;
use optionstratlib::strategies::base::Strategies;
use optionstratlib::strategies::iron_condor::IronCondor;
use optionstratlib::utils::logger::setup_logger;
Expand All @@ -19,16 +21,16 @@ fn main() -> Result<(), Box<dyn Error>> {
2800.0, // long_call_strike
2500.0, // long_put_strike
ExpirationDate::Days(30.0),
0.1548, // implied_volatility
0.05, // risk_free_rate
0.0, // dividend_yield
2, // quantity
38.8, // premium_short_call
30.4, // premium_short_put
23.3, // premium_long_call
16.8, // premium_long_put
0.96, // open_fee
0.96, // close_fee
0.1548, // implied_volatility
0.05, // risk_free_rate
0.0, // dividend_yield
pos!(2.0), // quantity
38.8, // premium_short_call
30.4, // premium_short_put
23.3, // premium_long_call
16.8, // premium_long_put
0.96, // open_fee
0.96, // close_fee
);

let price_range: Vec<f64> = (2450..=2950).map(|x| x as f64).collect();
Expand Down
22 changes: 12 additions & 10 deletions examples/strategy_long_strangle.rs
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Original file line number Diff line number Diff line change
@@ -1,4 +1,6 @@
use optionstratlib::model::types::ExpirationDate;
use optionstratlib::model::types::PositiveF64;
use optionstratlib::pos;
use optionstratlib::strategies::base::Strategies;
use optionstratlib::strategies::strangle::LongStrangle;
use optionstratlib::utils::logger::setup_logger;
Expand All @@ -17,16 +19,16 @@ fn main() -> Result<(), Box<dyn Error>> {
2725.0, // call_strike
2560.0, // put_strike
ExpirationDate::Days(60.0),
0.1548, // implied_volatility
0.05, // risk_free_rate
0.0, // dividend_yield
2, // quantity
38.8, // premium_short_call
30.4, // premium_short_put
0.96, // open_fee_short_call
0.96, // close_fee_short_call
0.96, // open_fee_short_put
0.96, // close_fee_short_put
0.1548, // implied_volatility
0.05, // risk_free_rate
0.0, // dividend_yield
pos!(2.0), // quantity
38.8, // premium_short_call
30.4, // premium_short_put
0.96, // open_fee_short_call
0.96, // close_fee_short_call
0.96, // open_fee_short_put
0.96, // close_fee_short_put
);

let price_range: Vec<f64> = (2450..=2850).map(|x| x as f64).collect();
Expand Down
4 changes: 3 additions & 1 deletion examples/strategy_poor_mans_covered_call.rs
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Original file line number Diff line number Diff line change
Expand Up @@ -5,6 +5,8 @@
******************************************************************************/

use optionstratlib::model::types::ExpirationDate;
use optionstratlib::model::types::PositiveF64;
use optionstratlib::pos;
use optionstratlib::strategies::base::Strategies;
use optionstratlib::strategies::poor_mans_covered_call::PoorMansCoveredCall;
use optionstratlib::utils::logger::setup_logger;
Expand All @@ -27,7 +29,7 @@ fn main() -> Result<(), Box<dyn Error>> {
0.17, // implied_volatility
0.05, // risk_free_rate
0.0, // dividend_yield
2, // quantity
pos!(2.0), // quantity
154.7, // premium_short_call
30.8, // premium_short_put
1.74, // open_fee_short_call
Expand Down
22 changes: 12 additions & 10 deletions examples/strategy_short_strangle.rs
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Original file line number Diff line number Diff line change
@@ -1,4 +1,6 @@
use optionstratlib::model::types::ExpirationDate;
use optionstratlib::model::types::PositiveF64;
use optionstratlib::pos;
use optionstratlib::strategies::base::Strategies;
use optionstratlib::strategies::strangle::ShortStrangle;
use optionstratlib::utils::logger::setup_logger;
Expand All @@ -17,16 +19,16 @@ fn main() -> Result<(), Box<dyn Error>> {
7450.0, // call_strike
7050.0, // put_strike
ExpirationDate::Days(45.0),
0.3745, // implied_volatility
0.05, // risk_free_rate
0.0, // dividend_yield
1, // quantity
84.2, // premium_short_call
353.2, // premium_short_put
7.01, // open_fee_short_call
7.01, // close_fee_short_call
7.01, // open_fee_short_put
7.01, // close_fee_short_put
0.3745, // implied_volatility
0.05, // risk_free_rate
0.0, // dividend_yield
pos!(1.0), // quantity
84.2, // premium_short_call
353.2, // premium_short_put
7.01, // open_fee_short_call
7.01, // close_fee_short_call
7.01, // open_fee_short_put
7.01, // close_fee_short_put
);

let price_range: Vec<f64> = (6400..=8100).map(|x| x as f64).collect();
Expand Down
22 changes: 12 additions & 10 deletions examples/strategy_short_strangle_delta.rs
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Original file line number Diff line number Diff line change
@@ -1,4 +1,6 @@
use optionstratlib::model::types::ExpirationDate;
use optionstratlib::model::types::PositiveF64;
use optionstratlib::pos;
use optionstratlib::strategies::base::Strategies;
use optionstratlib::strategies::strangle::ShortStrangle;
use optionstratlib::utils::logger::setup_logger;
Expand All @@ -17,16 +19,16 @@ fn main() -> Result<(), Box<dyn Error>> {
2480.0, // call_strike
2650.0, // put_strike
ExpirationDate::Days(3.0),
0.1548, // implied_volatility
0.05, // risk_free_rate
0.0, // dividend_yield
2, // quantity
46.3, // premium_short_call
4.6, // premium_short_put
0.96, // open_fee_short_call
0.96, // close_fee_short_call
0.96, // open_fee_short_put
0.96, // close_fee_short_put
0.1548, // implied_volatility
0.05, // risk_free_rate
0.0, // dividend_yield
pos!(2.0), // quantity
46.3, // premium_short_call
4.6, // premium_short_put
0.96, // open_fee_short_call
0.96, // close_fee_short_call
0.96, // open_fee_short_put
0.96, // close_fee_short_put
);

let price_range: Vec<f64> = (2450..=2850).map(|x| x as f64).collect();
Expand Down
4 changes: 3 additions & 1 deletion examples/time-and-rate.rs
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Expand Up @@ -6,7 +6,9 @@

use optionstratlib::greeks::utils::big_n;
use optionstratlib::model::option::Options;
use optionstratlib::model::types::PositiveF64;
use optionstratlib::model::types::{ExpirationDate, OptionStyle, OptionType, Side};
use optionstratlib::pos;
use optionstratlib::pricing::black_scholes_model::black_scholes;
use optionstratlib::utils::logger::setup_logger;
use rayon::prelude::*;
Expand Down Expand Up @@ -137,7 +139,7 @@ fn main() {
opt.strike,
ExpirationDate::Days(best_t * 365.0),
opt.implied_volatility,
1,
pos!(1.0),
s,
best_r,
OptionStyle::Call,
Expand Down
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