47 implement missing strategies (#49)

* Implement collar strategy

* Implement fence strategy

* Implement ladder strategy

* Implement risk reversal strategy

Author: carlobortolan

examples/images/collar.png

@@ -273,42 +273,69 @@ fn example_strategy() {
         model.price(&put)
     );
 
+    let otm_put = EuropeanOption::new(instrument.clone(), 40.0, 1.0, Put);
+    let otm_call = EuropeanOption::new(instrument.clone(), 60.0, 1.0, Call);
+    println!(
+        "[Collar: {:?}], given stock: {}, put: {}, call: {}",
+        model.collar(&instrument, &otm_put, &otm_call)(50.0),
+        instrument.spot,
+        model.price(&otm_put),
+        model.price(&otm_call)
+    );
+
+    let atm_put = EuropeanOption::new(instrument.clone(), 50.0, 1.0, Put);
+    let otm_call = EuropeanOption::new(instrument.clone(), 60.0, 1.0, Call);
+    let otm_put = EuropeanOption::new(instrument.clone(), 40.0, 1.0, Put);
+    println!(
+        "[Fence: {:?}], given stock: {}, put: {}, put: {}, call: {}",
+        model.fence(&instrument, &atm_put, &otm_put, &otm_call)(50.0),
+        instrument.spot,
+        model.price(&atm_put),
+        model.price(&otm_call),
+        model.price(&otm_put)
+    );
+
     // [Covered Call: 50.46060396445954], given stock: 50, call: 0.4606039644595379
     // [Protective Put: 50.19404262184266], given stock: 50, put: 0.19404262184266008
 
     ////////////
     /* SIMPLE */
 
-    let itm_call = EuropeanOption::new(instrument.clone(), 40.0, 1.0, Call);
     let itm_put = EuropeanOption::new(instrument.clone(), 60.0, 1.0, Put);
+    let itm_call = EuropeanOption::new(instrument.clone(), 40.0, 1.0, Call);
     println!(
         "[Guts: {:?}], given put: {}, call: {}",
         model.guts(&itm_put, &itm_call)(50.0),
         model.price(&itm_put),
         model.price(&itm_call)
     );
 
-    let atm_call = EuropeanOption::new(instrument.clone(), 50.0, 1.0, Call);
     let atm_put = EuropeanOption::new(instrument.clone(), 50.0, 1.0, Put);
+    let atm_call = EuropeanOption::new(instrument.clone(), 50.0, 1.0, Call);
     println!(
         "[Straddle: {:?}], given put: {}, call: {}",
         model.straddle(&atm_put, &atm_call)(50.0),
         model.price(&atm_put),
         model.price(&atm_call)
     );
 
-    let otm_call = EuropeanOption::new(instrument.clone(), 60.0, 1.0, Call);
     let otm_put = EuropeanOption::new(instrument.clone(), 40.0, 1.0, Put);
+    let otm_call = EuropeanOption::new(instrument.clone(), 60.0, 1.0, Call);
     println!(
         "[Strangle: {:?}], given put: {}, call: {}",
         model.strangle(&otm_put, &otm_call)(50.0),
         model.price(&otm_put),
         model.price(&otm_call)
     );
 
-    // [Guts: 20.604709034251407], given put: 10.310791308307145, call: 10.293917725944262
-    // [Straddle: 5.971892724319904], given put: 2.923524422096456, call: 3.048368302223448
-    // [Strangle: 0.654646586302198], given put: 0.19404262184266008, call: 0.4606039644595379
+    let otm_put = EuropeanOption::new(instrument.clone(), 40.0, 1.0, Put);
+    let otm_call = EuropeanOption::new(instrument.clone(), 60.0, 1.0, Call);
+    println!(
+        "[Risk Reversal: {:?}], given put: {}, call: {}",
+        model.risk_reversal(&otm_put, &otm_call)(50.0),
+        model.price(&otm_put),
+        model.price(&otm_call)
+    );
 
     ///////////////
     /* BUTTERFLY */
@@ -361,13 +388,24 @@ fn example_strategy() {
     let long1 = EuropeanOption::new(instrument.clone(), 55.0, 1.0, Call);
     let long2 = EuropeanOption::new(instrument.clone(), 55.0, 1.0, Call);
     println!(
-        "[Back Spread: {:?}], given short: {}, long1: {}, given long2: {}",
+        "[Back Spread: {:?}], given short: {}, long1: {}, long2: {}",
         model.back_spread(&short, &long1, &long2)(50.0),
         model.price(&short),
         model.price(&long1),
         model.price(&long2),
     );
 
+    let long = EuropeanOption::new(instrument.clone(), 50.0, 1.0, Call);
+    let short1 = EuropeanOption::new(instrument.clone(), 55.0, 1.0, Call);
+    let short2 = EuropeanOption::new(instrument.clone(), 55.0, 1.0, Call);
+    println!(
+        "[Ladder: {:?}], given long: {}, short1: {}, short2: {}",
+        model.ladder(&long, &short1, &short2)(50.0),
+        model.price(&short),
+        model.price(&long1),
+        model.price(&long2),
+    );
+
     let front_month = EuropeanOption::new(instrument.clone(), 50.0, 1.0 / 12.0, Call);
     let back_month = EuropeanOption::new(instrument.clone(), 50.0, 2.0 / 12.0, Call);
     println!(
@@ -441,6 +479,33 @@ fn example_strategy() {
     );
     // => Protective Put: examples/images/protective_put.png
 
+    let options = vec![
+        EuropeanOption::new(instrument.clone(), 40.0, 1.0, Put),
+        EuropeanOption::new(instrument.clone(), 60.0, 1.0, Call),
+    ];
+    let _ = model.plot_strategy_breakdown(
+        "Collar",
+        model.collar(&instrument, &options[0], &options[1]),
+        20.0..80.0,
+        "examples/images/collar.png",
+        &options,
+    );
+    // => Protective Put: examples/images/collar.png
+
+    let options = vec![
+        EuropeanOption::new(instrument.clone(), 50.0, 1.0, Put),
+        EuropeanOption::new(instrument.clone(), 40.0, 1.0, Put),
+        EuropeanOption::new(instrument.clone(), 60.0, 1.0, Call),
+    ];
+    let _ = model.plot_strategy_breakdown(
+        "Fence",
+        model.fence(&instrument, &options[0], &options[1], &options[2]),
+        20.0..80.0,
+        "examples/images/fence.png",
+        &options,
+    );
+    // => Protective Put: examples/images/fence.png
+
     let options = vec![
         EuropeanOption::new(instrument.clone(), 60.0, 1.0, Put),
         EuropeanOption::new(instrument.clone(), 40.0, 1.0, Call),
@@ -481,6 +546,19 @@ fn example_strategy() {
     );
     // => Strangle: examples/images/strangle_strategy.png
 
+    let options = vec![
+        EuropeanOption::new(instrument.clone(), 40.0, 1.0, Put),
+        EuropeanOption::new(instrument.clone(), 60.0, 1.0, Call),
+    ];
+    let _ = model.plot_strategy_breakdown(
+        "Risk Reversal",
+        model.risk_reversal(&options[0], &options[1]),
+        20.0..80.0,
+        "examples/images/risk_reversal.png",
+        &options,
+    );
+    // => Strangle: examples/images/risk_reversal.png
+
     let options = vec![
         EuropeanOption::new(instrument.clone(), 40.0, 1.0, Call),
         EuropeanOption::new(instrument.clone(), 50.0, 1.0, Call),
@@ -576,6 +654,19 @@ fn example_strategy() {
         &options,
     ); // => Back Spread: examples/images/back_spread_strategy.png
 
+    let options = vec![
+        EuropeanOption::new(instrument.clone(), 50.0, 1.0, Call),
+        EuropeanOption::new(instrument.clone(), 55.0, 1.0, Call),
+        EuropeanOption::new(instrument.clone(), 55.0, 1.0, Call),
+    ];
+    let _ = model.plot_strategy_breakdown(
+        "Ladder",
+        model.ladder(&options[0], &options[1], &options[2]),
+        20.0..80.0,
+        "examples/images/ladder_strategy.png",
+        &options,
+    );
+
     let options = vec![
         EuropeanOption::new(instrument.clone(), 50.0, 1.0 / 12.0, Call),
         EuropeanOption::new(instrument.clone(), 50.0, 2.0 / 12.0, Call),