bug fix in binomial

Author: siddharthqs

Cargo.toml

@@ -37,3 +37,4 @@ strum = "0.25"
 strum_macros = "0.25"
 ndarray = "0.15"
 assert_approx_eq = "1.1.0"
+rayon = "1.5.1"

README.md

@@ -1,11 +1,12 @@
 [![Build and Tests](https://github.com/siddharthqs/RustyQLib/actions/workflows/rust.yml/badge.svg)](https://github.com/siddharthqs/RustyQLib/actions/workflows/rust.yml)
 [![License: MIT](https://img.shields.io/badge/License-MIT-blue.svg)](https://opensource.org/licenses/MIT)
-
+![Crates.io](https://img.shields.io/crates/dr/rustyqlib)
+![Crates.io](https://img.shields.io/crates/v/rustyqlib)
 # RUSTYQLib :Pricing Options with Confidence using JSON
 RustyQLib is a lightweight yet robust quantitative finance library designed for pricing options.
 Built entirely in Rust, it offers a unique combination of safety, performance, and expressiveness that is crucial
-for handling financial data and complex calculations. RustyQlib simplifies equity option pricing without compromising
-on safety, speed, or usability.
+for handling financial data and complex calculations. RustyQlib simplifies option pricing without compromising
+on safety, speed, or usability. It uses JSON to make distributed computing easier and integration with other systems or your websites.
 ## License
 RustyQlib is distributed under the terms of both the MIT license and the Apache License (Version 2.0).
 See LICENSE-APACHE and LICENSE-MIT for details.
@@ -30,20 +31,13 @@ Sample input file is provided in the repository (src\input\equity_option.json)
 Files are in JSON format and can be easily edited with any text editor.
 ## Features
 
-### JSON Input Simplicity:
+### JSON Simplicity:
 
 - Ease of Use: Providing input data in JSON format is straightforward and human-readable.
-   You can specify the parameters of your options with ease, making complex financial modeling accessible to all.
+- Portability: JSON is a platform-independent format, so you can use it on any operating system.
 - Flexibility: JSON accommodates various data types and structures, enabling you to define not only the option details but also additional market data, historical information, and risk parameters as needed.
-- Integration-Ready: RustQuant's JSON input is integration-friendly. You can seamlessly connect it to data sources, trading platforms, or other financial systems, simplifying your workflow and enhancing automation.
-
-### JSON Output Clarity:
-JSON Output Clarity
-- Structured Results: RustQuant produces JSON output, that is your provided input with pricing results, Greeks, and risk profiles.
+- Integration-Ready: You can seamlessly connect it to data sources, trading platforms, or other financial systems, simplifying your workflow and enhancing automation.
 
-- Scalability: JSON output is highly scalable.
-  You can process large batches of option pricing requests and obtain results in a structured format, streamlining portfolio management.
-- Interoperability: JSON output integrates seamlessly with data visualization tools, databases, and reporting systems, enabling you to present and share your derivative pricing results effectively.
 ### Stypes:
 - [x] European
 - [x] American
@@ -70,7 +64,6 @@ JSON Output Clarity
 - [ ] Commodity Barrier
 - [ ] Commodity Lookback
 
-
 ### Pricing engines:
 - [x] Black Scholes
 - [x] Binomial Tree

src/equity/binomial.rs

@@ -24,6 +24,7 @@ pub fn npv(option: &&EquityOption) -> f64 {
     //println!("{:?}",tree);
     // Calculate option prices at the final time step (backward induction)
     let multiplier = if option.option_type == OptionType::Call { 1.0 } else { -1.0 };
+
     for j in 0..=num_steps {
         let spot_price_j = option.underlying_price.value * u.powi(num_steps as i32 - j as i32) * d.powi(j as i32);
         tree[[j,num_steps]] = (multiplier*(spot_price_j - option.strike_price)).max(0.0);
@@ -33,7 +34,7 @@ pub fn npv(option: &&EquityOption) -> f64 {
         ContractStyle::European => {
             for i in (0..num_steps).rev() {
                 for j in 0..=i {
-                    let spot_price_i =  option.underlying_price.value * u.powi(i as i32 - j as i32) * d.powi(j as i32);
+                    //let spot_price_i =  option.underlying_price.value * u.powi(i as i32 - j as i32) * d.powi(j as i32);
                     let discounted_option_price = discount_factor * (p * tree[[ j,i+1]] + (1.0 - p) * tree[[ j + 1,i+1]]);
                     //tree[[j,i]] = (multiplier*(spot_price_i - option.strike_price)).max(discounted_option_price);
                     tree[[j,i]] = discounted_option_price;
@@ -42,7 +43,7 @@ pub fn npv(option: &&EquityOption) -> f64 {
 
         }
         ContractStyle::American => {
-            println!("American");
+
             for i in (0..num_steps).rev() {
                 for j in 0..=i {
                     let spot_price_i =  option.underlying_price.value * u.powi(i as i32 - j as i32) * d.powi(j as i32);
@@ -99,7 +100,26 @@ mod tests {
         };
         let mut option = EquityOption::from_json(&data);
         option.valuation_date = NaiveDate::from_ymd(2023, 11, 06);
+        //Call European test
+        let npv = option.npv();
+        assert_approx_eq!(npv, 5.058163, 1e-6);
+        //Call American test
+        option.option_type = OptionType::Call;
+        option.style = ContractStyle::American;
         let npv = option.npv();
         assert_approx_eq!(npv, 5.058163, 1e-6);
+
+        //Put European test
+        option.option_type = OptionType::Put;
+        option.style = ContractStyle::European;
+        option.valuation_date = NaiveDate::from_ymd(2023, 11, 07);
+        let npv = option.npv();
+        assert_approx_eq!(npv, 4.259022688, 1e-6);
+
+        //Put American test
+        option.option_type = OptionType::Put;
+        option.style = ContractStyle::American;
+        let npv = option.npv();
+        assert_approx_eq!(npv, 4.315832381, 1e-6);
     }
 }

src/equity/blackscholes.rs

@@ -25,10 +25,6 @@ pub fn npv(bsd_option: &&EquityOption) -> f64 {
             - bsd_option.strike_price
             * exp(-bsd_option.risk_free_rate * bsd_option.time_to_maturity())
             * N(bsd_option.d2());
-        let a = N(bsd_option.d1());
-        let b = N(bsd_option.d2());
-        println!("a = {:?} b = {:?}",a,b);
-        println!("{:?}",bsd_option);
         return option_price;
     } else {
         let option_price = -bsd_option.underlying_price.value()
@@ -335,4 +331,52 @@ pub fn implied_volatility() {
     io::stdin()
         .read_line(&mut div)
         .expect("Failed to read line");
-}
+}
+
+#[cfg(test)]
+mod tests {
+
+    use assert_approx_eq::assert_approx_eq;
+    use super::*;
+    use crate::core::utils::{Contract,MarketData};
+    use crate::core::trade::{OptionType,Transection};
+    use crate::core::utils::{ContractStyle};
+    use crate::equity::vanila_option::{EquityOption};
+
+    #[test]
+    fn test_black_scholes() {
+        let mut data = Contract {
+            action: "PV".to_string(),
+            market_data: Some(MarketData {
+                underlying_price: 100.0,
+                strike_price: 100.0,
+                volatility: Some(0.3),
+                option_price: Some(10.0),
+                risk_free_rate: Some(0.05),
+                dividend: Some(0.0),
+                maturity: "2024-01-01".to_string(),
+                option_type: "C".to_string(),
+                simulation: None
+            }),
+            pricer: "Analytical".to_string(),
+            asset: "".to_string(),
+            style: Some("European".to_string()),
+            rate_data: None
+        };
+
+        let mut option = EquityOption::from_json(&data);
+        option.valuation_date = NaiveDate::from_ymd(2023, 11, 06);
+        //Call European test
+        let npv = option.npv();
+        assert_approx_eq!(npv, 5.05933313, 1e-6);
+
+        //Put European test
+        option.option_type = OptionType::Put;
+        option.style = ContractStyle::European;
+        option.valuation_date = NaiveDate::from_ymd(2023, 11, 07);
+        let npv = option.npv();
+        assert_approx_eq!(npv,4.2601813, 1e-6);
+
+    }
+}
+

src/equity/vanila_option.rs

@@ -18,12 +18,12 @@ impl Instrument for EquityOption  {
                 value
             }
             Engine::MonteCarlo => {
-                println!("Using MonteCarlo Engine ");
+
                 let value = montecarlo::npv(&self,false);
                 value
             }
             Engine::Binomial => {
-                println!("Using Binomial Engine ");
+
                 let value = binomial::npv(&self);
                 value
             }

src/examples/EQ/eq2.json

@@ -0,0 +1,49 @@
+{"asset":"EQ",
+"contracts" : [
+{
+"action":"PV",
+"style":"American",
+"pricer":"Binomial",
+"asset":"EQ",
+"market_data":{
+"underlying_price":100,
+"option_type":"P",
+"strike_price":100,
+"volatility":0.3,
+"risk_free_rate":0.05,
+"maturity":"2024-01-01",
+"dividend": 0.0
+}
+},
+{
+"action":"PV",
+"pricer":"Binomial",
+"asset":"EQ",
+"style":"American",
+"market_data":{
+"underlying_price":100,
+"option_type":"P",
+"strike_price":105,
+"volatility":0.3,
+"risk_free_rate":0.05,
+"maturity":"2024-01-01",
+"dividend": 0.0
+}
+},
+{
+"action":"PV",
+"pricer":"Binomial",
+"asset":"EQ",
+"style":"American",
+"market_data":{
+"underlying_price":100,
+"option_type":"P",
+"strike_price":110,
+"volatility":0.3,
+"risk_free_rate":0.05,
+"maturity":"2024-01-01",
+"dividend": 0.0
+}
+}
+]
+}

src/utils/parse_json.rs

@@ -14,8 +14,7 @@ use crate::cmdty::cmdty_option::{CmdtyOption};
 use crate::core::trade;
 use crate::cmdty::cmdty_option;
 use crate::core::traits::{Instrument, Rates};
-use crate::core::utils;
-use crate::core::utils::{CombinedContract, ContractOutput, Contracts, OutputJson,EngineType};
+use crate::core::utils::{Contract,CombinedContract, ContractOutput, Contracts, OutputJson,EngineType};
 use crate::core::utils::ContractStyle;
 use crate::core::traits::Greeks;
 use std::io::Write;
@@ -26,7 +25,7 @@ use crate::rates::deposits::Deposit;
 use crate::rates::build_contracts::{build_ir_contracts, build_ir_contracts_from_json, build_term_structure};
 use crate::equity::build_contracts::{build_eq_contracts_from_json};
 use crate::equity::vol_surface::VolSurface;
-
+use rayon::prelude::*;
 /// This function saves the output to a file and returns the path to the file.
 pub fn save_to_file<'a>(output_folder: &'a str, subfolder: &'a str, filename: &'a str, output: &'a str) -> String {
     let mut dir = std::path::PathBuf::from(output_folder);
@@ -88,35 +87,38 @@ pub fn parse_contract(mut file: &mut File,output_filename: &str) {
 
     let list_contracts: Contracts = serde_json::from_str(&contents).expect("Failed to deserialize JSON");
 
-    //let data: utils::Contract = serde_json::from_str(&contents).expect("Failed to deserialize JSON");
-    //let mut output: String = String::new();
-    let mut output_vec:Vec<String> = Vec::new();
-    for data in list_contracts.contracts.into_iter() {
-        output_vec.push(process_contract(data));
+    if list_contracts.contracts.len() == 0 {
+        println!("No contracts found in JSON file");
+        return;
     }
+    // parallel processing of each contract
+    let mut output_vec: Vec<_> = list_contracts.contracts.par_iter().enumerate()
+        .map(|(index,data)| (index,process_contract(data)))
+        .collect();
+    output_vec.sort_by_key(|k| k.0);
 
-    let mut file = File::create(output_filename).expect("Failed to create file");
-    //let mut output:OutputJson = OutputJson{contracts:output_vec};
+    let output_vec: Vec<String> = output_vec.into_iter().map(|(_,v)| v).collect();
     let output_str = output_vec.join(",");
-    //let output_json = serde_json::to_string(&output_vec).expect("Failed to generate output");
+    //Write to file
+    let mut file = File::create(output_filename).expect("Failed to create file");
     file.write_all(output_str.as_bytes()).expect("Failed to write to file");
 }
-pub fn process_contract(data: utils::Contract) -> String {
+pub fn process_contract(data: &Contract) -> String {
     //println!("Processing {:?}",data);
     let date =  vec![0.01,0.02,0.05,0.1,0.5,1.0,2.0,3.0];
     let rates = vec![0.05,0.05,0.05,0.05,0.05,0.05,0.05,0.05];
     let ts = YieldTermStructure::new(date,rates);
 
-
     if data.action=="PV" && data.asset=="EQ"{
         //let market_data = data.market_data.clone().unwrap();
         let option = EquityOption::from_json(&data);
 
-        let contract_output = ContractOutput{pv:option.npv(),delta:option.delta(),gamma:option.gamma(),vega:option.vega(),theta:option.theta(),rho:option.rho(), error: None };
+        let contract_output = ContractOutput{pv:option.npv(),delta:option.delta(),gamma:option.gamma(),
+            vega:option.vega(),theta:option.theta(),rho:option.rho(), error: None };
         println!("Theoretical Price ${}", contract_output.pv);
         println!("Delta ${}", contract_output.delta);
         let combined_ = CombinedContract{
-            contract: data,
+            contract: data.clone(),
             output:contract_output
         };
         let output_json = serde_json::to_string(&combined_).expect("Failed to generate output");
@@ -155,11 +157,11 @@ pub fn process_contract(data: utils::Contract) -> String {
                 time_to_future_maturity: None,
                 risk_free_rate: None
             };
-            let contract_output = utils::ContractOutput{pv:option.npv(),delta:option.delta(),gamma:option.gamma(),vega:option.vega(),theta:option.theta(),rho:option.rho(), error: None };
+            let contract_output = ContractOutput{pv:option.npv(),delta:option.delta(),gamma:option.gamma(),vega:option.vega(),theta:option.theta(),rho:option.rho(), error: None };
             println!("Theoretical Price ${}", contract_output.pv);
             println!("Delta ${}", contract_output.delta);
-            let combined_ = utils::CombinedContract{
-                contract: data,
+            let combined_ = CombinedContract{
+                contract: data.clone(),
                 output:contract_output
             };
             let output_json = serde_json::to_string(&combined_).expect("Failed to generate output");