Fix time spread and flaky strategies (#48)

* Fix covered_call, diagonal_spread and iron_butterfly

* Update README.md

* Update README and examples

* Update README.md

* Update tests

Author: carlobortolan

README.md

@@ -129,7 +129,7 @@ Greeks { delta: 0.013645840354947947, gamma: -0.0008813766475726433, theta: 0.17
 
 Quantrs also supports plotting option prices and strategies using the `plotters` backend.
 
-E.g., Plot the P/L of a slightly skewed Condor spread:
+E.g., Plot the P/L of a slightly skewed Condor spread using the Monte-Carlo model:
 
 <details>
 <summary><i>Click to see example code</i></summary>
@@ -148,24 +148,26 @@ let options = vec![
     EuropeanOption::new(instrument.clone(), 115.0, 1.0, Call),
 ];
 
-// Create a new Black-Scholes model with:
+// Create a new Monte-Carlo model with:
 // - Risk-free interest rate (r) = 5%
 // - Volatility (σ) = 20%
-let model = BlackScholesModel::new(0.05, 0.2);
+// - Number of simulations = 10,000
+// - Number of time steps = 365
+let model = MonteCarloModel::geometric(0.05, 0.2, 10_000, 365);
 
 // Plot a breakdown of the Condor spread with a spot price range of [80,120]
 model.plot_strategy_breakdown(
     "Condor Example",
     model.condor(&options[0], &options[1], &options[2], &options[3]),
     80.0..120.0,
-    "path/to/destination.png",
+    "examples/images/strategy.png",
     &options,
 );
 ```
 
 </details>
 
-![condor_strategy](./examples/images/condor.png)
+![condor_strategy](./examples/images/strategy.png)
 
 <!--<div align="center">
   <img src="https://github.com/user-attachments/assets/0298807f-43ed-4458-9c7d-43b0f70defea" alt="condor_strategy" width="600"/>
@@ -176,7 +178,7 @@ See the [documentation][docs-url] for more information and examples.
 ## Benchmarks
 
 Compared to other popular and well-maintained (i.e., actively developed, well-documented, and feature-rich) options pricing libraries, quantrs competes well in terms of performance:
-E.g., for building and pricing a European call with the Merton Black-Scholes model, quantrs is:
+E.g., for pricing a European call with the Merton Black-Scholes model, quantrs is:
 
 - **87x faster** than `py_vollib`
 - **29x faster** than `QuantLib` (python bindings)

examples/images/condor.png

@@ -249,7 +249,9 @@ fn example_rainbow() {
 }
 
 fn example_strategy() {
-    let model = BlackScholesModel::new(0.0025, 0.15);
+    // let model = BlackScholesModel::new(0.0025, 0.15);
+    // let model = MonteCarloModel::geometric(0.05, 0.2, 10_000, 365);
+    let model = BinomialTreeModel::new(0.05, 0.2, 100);
     let instrument = Instrument::new().with_spot(50.0);
 
     ////////////////////
@@ -587,32 +589,28 @@ fn example_strategy() {
     ); // => Calendar Spread: examples/images/calendar_spread_strategy.png
 
     let options = vec![
-        EuropeanOption::new(instrument.clone(), 60.0, 1.0 / 12.0, Call),
-        EuropeanOption::new(instrument.clone(), 75.0, 2.0 / 12.0, Call),
-        EuropeanOption::new(instrument.clone(), 60.0, 1.0 / 12.0, Call),
+        EuropeanOption::new(Instrument::new().with_spot(48.0), 49.0, 1.0 / 12.0, Call),
+        EuropeanOption::new(Instrument::new().with_spot(48.0), 49.0, 1.0 / 12.0, Call),
+        EuropeanOption::new(Instrument::new().with_spot(48.0), 50.0, 2.0 / 12.0, Call),
     ];
     let _ = model.plot_strategy_breakdown(
         "Diagonal Spread",
         model.diagonal_spread(&options[0], &options[1], &options[2]),
-        20.0..80.0,
+        40.0..60.0,
         "examples/images/diagonal_spread_strategy.png",
         &options,
-    ); // => Diagonal Spread: examples/images/diagonal_spread_strategy.png
+    ); //model.diagonal_spread(&options[0], &options[1], &options[2])(50.0);
 }
 
 fn example_plots() {
-    // Create a new plotter and plot the option prices
-    // let plotter = Plotter::new();
-    // let _ = plotter.plot_option_prices(
-    //     "Binary Call Option",
-    //     instrument,
-    //     80.0..120.0,
-    //     0.1..1.0,
-    //     0.1,
-    //     Call,
-    //     |k, t| BinaryOption::cash_or_nothing(instrument.clone(), k, t, Call),
-    //     "path/to/destination.png",
-    // );
+    // Create a new Monte-Carlo model with:
+    // - Risk-free interest rate (r) = 5%
+    // - Volatility (σ) = 20%
+    // - Number of simulations = 10,000
+    // - Number of time steps = 365
+    let model = MonteCarloModel::geometric(0.05, 0.2, 10_000, 365);
+
+    // Create a new instrument with a spot price of 100 and a dividend yield of 2%
     let instrument = Instrument::new().with_spot(100.0).with_cont_yield(0.02);
 
     // Create a vector of European call options with different strike prices
@@ -623,16 +621,12 @@ fn example_plots() {
         EuropeanOption::new(instrument.clone(), 115.0, 1.0, Call),
     ];
 
-    // Create a new Black-Scholes model with:
-    // - Risk-free interest rate (r) = 5%
-    // - Volatility (σ) = 20%
-    let model = BlackScholesModel::new(0.05, 0.2);
-
+    // Plot a breakdown of the Condor spread with a spot price range of [80,120]
     let _ = model.plot_strategy_breakdown(
         "Condor Example",
         model.condor(&options[0], &options[1], &options[2], &options[3]),
         80.0..120.0,
-        "examples/images/condor.png",
+        "examples/images/strategy.png",
         &options,
     );
 }

examples/images/covered_call.png

@@ -72,7 +72,7 @@
 //! println!("Option price: {}", price);
 //! ```
 
-use crate::options::{Option, OptionPricing, OptionStyle};
+use crate::options::{Option, OptionPricing, OptionStrategy, OptionStyle};
 
 /// Binomial tree option pricing model.
 #[derive(Debug, Default)]
@@ -150,3 +150,5 @@ impl OptionPricing for BinomialTreeModel {
         panic!("BinomialTreeModel does not support implied volatility calculation yet");
     }
 }
+
+impl OptionStrategy for BinomialTreeModel {}

examples/images/diagonal_spread_strategy.png

@@ -1,6 +1,6 @@
 //! Module for Black76 option pricing model.
 
-use crate::options::{Option, OptionPricing};
+use crate::options::{Option, OptionPricing, OptionStrategy};
 
 /// Black76 option pricing model.
 #[derive(Debug, Default)]
@@ -33,3 +33,5 @@ impl OptionPricing for Black76Model {
         panic!("Black76Model does not support implied volatility calculation yet");
     }
 }
+
+impl OptionStrategy for Black76Model {}

examples/images/iron_butterfly_strategy.png

@@ -1,6 +1,6 @@
 //! Module for finite difference option pricing model.
 
-use crate::options::{Option, OptionPricing};
+use crate::options::{Option, OptionPricing, OptionStrategy};
 
 /// Finite difference option pricing model.
 #[derive(Debug, Default)]
@@ -33,3 +33,5 @@ impl OptionPricing for FiniteDiffModel {
         panic!("FiniteDiffModel does not support implied volatility calculation yet");
     }
 }
+
+impl OptionStrategy for FiniteDiffModel {}