OptionStratLib

OptionStratLib v0.18.0: Financial Options Library

Table of Contents

1. Introduction
2. Features
3. Core Modules
4. Trading Strategies
5. Setup Instructions
6. Library Usage
7. Usage Examples
8. Testing
9. Contribution and Contact

Introduction

OptionStratLib is a comprehensive Rust library for options trading and strategy development across multiple asset classes. This versatile toolkit enables traders, quants, and developers to model, analyze, and visualize options strategies with a robust, type-safe approach. The library focuses on precision with decimal-based calculations, extensive test coverage, and a modular architecture built on modern Rust 2024 edition.

Features

1. Pricing Models

• Black-Scholes Model: European options pricing with full Greeks support
• Binomial Tree Model: American and European options with early exercise capability
• Monte Carlo Simulations: Complex pricing scenarios and path-dependent options
• Telegraph Process Model: Advanced stochastic modeling for jump-diffusion processes
• American Options: Barone-Adesi-Whaley approximation for early exercise
• Exotic Options: Complete support for 14 exotic option types (see below)

2. Greeks Calculation

• Complete Greeks suite: Delta, Gamma, Theta, Vega, Rho, Vanna, Vomma, Veta, Charm, Color
• Real-time sensitivity analysis
• Greeks visualization and risk profiling
• Custom Greeks implementations with adjustable parameters

3. Volatility Models

• Implied volatility calculation using Newton-Raphson method
• Volatility surface construction and interpolation
• Historical volatility estimation
• Advanced volatility modeling tools

4. Option Chain Management

• Complete option chain construction and analysis
• Strike price generation algorithms
• Chain data import/export (CSV/JSON formats)
• Advanced filtering and selection tools
• Option data grouping and organization

5. Trading Strategies (25+ Strategies)

• Single Leg: Long/Short Calls and Puts
• Spreads: Bull/Bear Call/Put Spreads
• Butterflies: Long/Short Butterfly Spreads, Call Butterfly
• Complex: Iron Condor, Iron Butterfly
• Volatility: Long/Short Straddles and Strangles
• Income: Covered Calls (with spot leg support), Poor Man's Covered Call
• Protection: Protective Puts, Collars
• Custom: Flexible custom strategy framework
• Multi-Asset: Strategies combining options with spot, futures, or perpetuals

6. Risk Management & Analysis

• Position tracking and management
• Break-even analysis with multiple break-even points
• Profit/Loss calculations at various price points
• Risk profiles and comprehensive visualizations
• Delta neutrality analysis and adjustment
• Probability analysis for strategy outcomes

7. Backtesting Framework

• Comprehensive backtesting engine
• Performance metrics calculation
• Strategy optimization tools
• Historical analysis capabilities

8. Simulation Tools

• Monte Carlo simulations for strategy testing
• Telegraph process implementation
• Random walk simulations
• Custom simulation frameworks
• Parametrized simulations with adjustable inputs

9. Visualization & Plotting

• Strategy payoff diagrams
• Greeks visualization
• 3D volatility surfaces
• Risk profiles and P&L charts
• Interactive charts (powered by plotly.rs)
• Binomial tree visualization
• Comprehensive plotting utilities

10. Data Management

• Efficient decimal-based calculations using rust_decimal
• CSV/JSON import/export functionality
• Time series data handling
• Price series management and manipulation
• Robust data validation and error handling

11. Mathematical Tools

• Curve interpolation techniques
• Surface construction and analysis
• Geometric operations for financial modeling
• Advanced mathematical utilities for options pricing

12. Exotic Option Pricing

Complete pricing support for all exotic option types:

• Asian: Arithmetic and geometric average price options
• Barrier: Up/Down, In/Out barrier options with rebates
• Binary: Cash-or-nothing and asset-or-nothing options
• Lookback: Fixed and floating strike lookback options
• Compound: Options on options
• Chooser: Options to choose call or put at future date
• Cliquet: Forward-starting options with local caps/floors
• Rainbow: Multi-asset best-of/worst-of options
• Spread: Kirk's approximation for price differentials
• Quanto: Currency-protected options
• Exchange: Margrabe's formula for asset exchange
• Power: Non-linear payoff options

Quality & Discipline (0.16.x)

The 0.16 line is a quality-hardening release. Every change below is enforced crate-wide and documented in CHANGELOG.md:

• Checked Decimal arithmetic. Every monetary-path kernel routes through d_add / d_sub / d_mul / d_div / d_sum / d_sum_iter in model::decimal. Overflow on any monetary expression surfaces DecimalError::Overflow { operation, lhs, rhs } tagged with a static call-site string; no silent wraparound.
• Non-finite f64 guards. Every f64 → Decimal boundary inside pricing, Greeks, volatility, and simulation is wrapped with finite_decimal(..) and surfaces a domain-specific NonFinite { context, value } variant (PricingError, GreeksError, VolatilityError, SimulationError) instead of collapsing silently to Decimal::ZERO.
• NonZeroUsize step counts. price_binomial, monte_carlo_option_pricing, telegraph and related kernels take std::num::NonZeroUsize for steps / simulations; zero is structurally invalid at the type level. Use the nz!(N) macro at literal call sites.
• Positive at every public boundary. Monetary values, strikes, quantities, volatilities are Positive (newtype around Decimal). Strategy-level P&L goes through Positive::new_decimal(..) at every point where a signed Decimal would otherwise be clamped to Positive, so inverted strikes or out-of-range optimizer candidates return typed StrategyError rather than panicking.
• Zero unchecked indexing in production code. #![deny(clippy::indexing_slicing)] is enforced crate-wide with scoped, documented escapes per module. Tests stay permissive via #![cfg_attr(test, allow(..))]. Production paths use .get(..).ok_or_else(..) with typed errors.
• Doc coverage floor. #![deny(missing_docs, rustdoc::broken_intra_doc_links)]. Every pub item has a /// summary; every Result returner documents its # Errors contract.
• Structured tracing. #[tracing::instrument] on the public hot paths: pricing::black_scholes, pricing::monte_carlo_option_pricing, pricing::price_binomial, volatility::implied_volatility, and the strategy optimizer entry points get_best_ratio / get_best_area. No println! / eprintln! / dbg! / log:: anywhere in src/.
• Compiler-attribute discipline. #[must_use] on every pure function and builder, #[inline] on small hot-path helpers, #[cold] #[inline(never)] on every error constructor, #[repr(u8)] on small stable enums, canonical #[derive] ordering.
• Deterministic simulation tests. utils::deterministic_rng(seed) provides a canonical seeded StdRng for Monte-Carlo / simulation tests, so precision shifts in upstream arithmetic cannot flip assertions by luck.
• Pricing-identity regression tests. tests/unit/pricing/identities_test.rs locks put-call parity on a grid, CRR binomial convergence to Black-Scholes, and the Greek sanity identities (Γ_c = Γ_p, Vega_c = Vega_p, Δ_c − Δ_p ≈ e^{-qT}).

Arithmetic-Error Cascade

flowchart LR
    subgraph Kernels["Numeric kernels (model / pricing / greeks / volatility / simulation)"]
        DADD["d_add / d_sub / d_mul / d_div"]
        DSUM["d_sum / d_sum_iter"]
        FD["finite_decimal(f64)"]
    end

    subgraph Errors["Typed errors (error/*)"]
        DOV["DecimalError::Overflow { operation, lhs, rhs }"]
        PNF["PricingError::NonFinite { context, value }"]
        GNF["GreeksError::NonFinite"]
        VNF["VolatilityError::NonFinite"]
        SNF["SimulationError::NonFinite"]
    end

    DADD -- "checked_*" --> DOV
    DSUM -- "checked_*" --> DOV
    FD -- "NaN / ±∞ guard" --> PNF
    FD --> GNF
    FD --> VNF
    FD --> SNF

    DOV -- "#[from]" --> PNF
    DOV -- "#[from]" --> GNF
    DOV -- "#[from]" --> VNF
    DOV -- "#[from]" --> SNF

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Core Modules

The library is organized into the following key modules:

Model (model/)

Core data structures and types for options trading:

• option.rs: Complete option structures with pricing and Greeks
• position.rs: Position management and P&L tracking
• expiration.rs: Flexible expiration date handling (Days/DateTime)
• positive.rs: Type-safe positive number implementation
• types.rs: Common enums (OptionType, Side, OptionStyle)
• trade.rs: Trade execution and management
• format.rs: Data formatting utilities
• leg/: Multi-instrument leg support for strategies
  • traits.rs: Common leg traits (LegAble, Marginable, Fundable, Expirable)
  • spot.rs: SpotPosition for underlying asset positions
  • perpetual.rs: PerpetualPosition for crypto perpetual swaps
  • future.rs: FuturePosition for exchange-traded futures
  • leg_enum.rs: Leg enum unifying all position types

Pricing Models (pricing/)

Advanced pricing engines for options valuation:

• black_scholes_model.rs: European options pricing with Greeks
• black_76.rs: European options on futures/forwards (Black 1976)
• garman_kohlhagen.rs: European FX options (Garman-Kohlhagen 1983)
• binomial_model.rs: American/European options with early exercise
• monte_carlo.rs: Path-dependent and exotic options pricing
• telegraph.rs: Jump-diffusion process modeling
• payoff.rs: Payoff function implementations
• american.rs: Barone-Adesi-Whaley approximation
• Exotic Options:
  • asian.rs: Asian option pricing
  • barrier.rs: Barrier option pricing
  • binary.rs: Binary/Digital option pricing
  • lookback.rs: Lookback option pricing
  • compound.rs: Compound option pricing
  • chooser.rs: Chooser option pricing
  • cliquet.rs: Cliquet option pricing
  • rainbow.rs: Rainbow option pricing
  • spread.rs: Spread option pricing
  • quanto.rs: Quanto option pricing
  • exchange.rs: Exchange option pricing
  • power.rs: Power option pricing

Strategies (strategies/)

Comprehensive trading strategy implementations:

• base.rs: Core traits (Strategable, BasicAble, Positionable, etc.)
• Single Leg: long_call.rs, short_call.rs, long_put.rs, short_put.rs
• Spreads: bull_call_spread.rs, bear_call_spread.rs, bull_put_spread.rs, bear_put_spread.rs
• Butterflies: long_butterfly_spread.rs, short_butterfly_spread.rs, call_butterfly.rs
• Complex: iron_condor.rs, iron_butterfly.rs
• Volatility: long_straddle.rs, short_straddle.rs, long_strangle.rs, short_strangle.rs
• Income: covered_call.rs, poor_mans_covered_call.rs
• Protection: protective_put.rs, collar.rs
• custom.rs: Flexible custom strategy framework
• probabilities/: Probability analysis for strategy outcomes
• delta_neutral/: Delta neutrality analysis and adjustment

Volatility (volatility/)

Volatility modeling and analysis:

• utils.rs: Implied volatility calculation (Newton-Raphson method)
• traits.rs: Volatility model interfaces
• Advanced volatility surface construction

Greeks (greeks/)

Complete Greeks calculation suite:

• Delta, Gamma, Theta, Vega, Rho, Vanna, Vomma, Veta, Charm, Color calculations
• Real-time sensitivity analysis
• Greeks-based risk management

Chains (chains/)

Option chain management and analysis:

• chain.rs: Option chain construction and manipulation
• utils.rs: Chain analysis and filtering tools
• CSV/JSON import/export functionality
• Strike price generation algorithms

Backtesting (backtesting/)

Strategy performance analysis:

• metrics.rs: Performance metrics calculation
• results.rs: Backtesting results management
• types.rs: Backtesting data structures

Simulation (simulation/)

Monte Carlo and stochastic simulations:

• Random walk implementations
• Telegraph process modeling
• Custom simulation frameworks
• Parametrized simulation tools

Visualization (visualization/)

Comprehensive plotting and charting:

• plotly.rs: Interactive charts with Plotly integration
• Strategy payoff diagrams
• Greeks visualization
• 3D volatility surfaces
• Risk profile charts

Metrics (metrics/)

Performance, risk, and liquidity metrics analysis:

• Price Metrics: Volatility skew curves
• Risk Metrics:
  • Implied Volatility curves (by strike) and surfaces (strike vs time)
  • Risk Reversal curves (by strike)
  • Dollar Gamma curves (by strike)
• Composite Metrics:
  • Vanna-Volga Hedge surfaces (price vs volatility)
  • Delta-Gamma Profile curves (by strike) and surfaces (price vs time)
  • Smile Dynamics curves (by strike) and surfaces (strike vs time)
• Liquidity Metrics:
  • Bid-Ask Spread curves (by strike)
  • Volume Profile curves (by strike) and surfaces (strike vs time)
  • Open Interest Distribution curves (by strike)
• Stress Metrics:
  • Volatility Sensitivity curves (by strike) and surfaces (price vs volatility)
  • Time Decay Profile curves (by strike) and surfaces (price vs time)
  • Price Shock Impact curves (by strike) and surfaces (price vs volatility)
• Temporal Metrics:
  • Theta curves (by strike) and surfaces (price vs time)
  • Charm (Delta Decay) curves (by strike) and surfaces (price vs time)
  • Color (Gamma Decay) curves (by strike) and surfaces (price vs time)

Risk Management (risk/)

Risk analysis and management tools:

• Position risk metrics
• Break-even analysis
• Risk profile generation

P&L (pnl/)

Profit and loss calculation:

• Real-time P&L tracking
• Historical P&L analysis
• Performance attribution

Curves & Surfaces (curves/, surfaces/)

Mathematical tools for financial modeling:

• Curve interpolation techniques
• Surface construction and analysis
• 3D visualization capabilities

Error Handling (error/)

Robust error management:

• Comprehensive error types for each module
• Type-safe error propagation
• Detailed error reporting

Core Components

classDiagram
class Options {
+option_type: OptionType
+side: Side
+underlying_symbol: String
+strike_price: Positive
+expiration_date: ExpirationDate
+implied_volatility: Positive
+quantity: Positive
+underlying_price: Positive
+risk_free_rate: Decimal
+option_style: OptionStyle
+dividend_yield: Positive
+exotic_params: Option~ExoticParams~
+calculate_price_black_scholes()
+calculate_price_binomial()
+time_to_expiration()
+is_long()
+is_short()
+validate()
+to_plot()
+calculate_implied_volatility()
+delta()
+gamma()
+theta()
+vega()
+rho()
+vanna()
+vomma()
+veta()
+charm()
+color()
}

class Position {
+option: Options
+position_cost: Positive
+entry_date: DateTime<Utc>
+open_fee: Positive
+close_fee: Positive
+net_cost()
+net_premium_received()
+unrealized_pnl()
+pnl_at_expiration()
+validate()
}

class Leg {
<<enumeration>>
Option(Position)
Spot(SpotPosition)
Future(FuturePosition)
Perpetual(PerpetualPosition)
+is_option()
+is_spot()
+is_linear()
+delta()
+pnl_at_price()
}

class SpotPosition {
+symbol: String
+quantity: Positive
+cost_basis: Positive
+side: Side
+date: DateTime<Utc>
+open_fee: Positive
+close_fee: Positive
+pnl_at_price()
+delta()
+market_value()
+break_even_price()
}

class ExpirationDate {
+Days(Positive)
+Date(NaiveDate)
+get_years()
+get_date()
+get_date_string()
+from_string()
}

class Positive {
+value: Decimal
+ZERO: Positive
+ONE: Positive
+format_fixed_places()
+round_to_nice_number()
+is_positive()
}

class OptionStyle {
<<enumeration>>
Call
Put
}

class OptionType {
<<enumeration>>
European
American
Bermuda
Asian
Barrier
Binary
Lookback
Compound
Chooser
Cliquet
Rainbow
Spread
Quanto
Exchange
Power
}

class Side {
<<enumeration>>
Long
Short
}

class Graph {
<<interface>>
+graph_data()
+graph_config()
+to_plot()
+write_html()
+write_png()
+write_svg()
+write_jpeg()
}

class Greeks {
<<interface>>
+delta()
+gamma()
+theta()
+vega()
+rho()
+calculate_all_greeks()
}

Options --|> Greeks : implements
Options --|> Graph : implements
Position o-- Options : contains
Leg o-- Position : Option variant
Leg o-- SpotPosition : Spot variant
SpotPosition *-- Side : has
SpotPosition *-- Positive : uses
Options *-- OptionStyle : has
Options *-- OptionType : has
Options *-- Side : has
Options *-- ExpirationDate : has
Options *-- Positive : uses

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Pricing Models Architecture

flowchart TB
    subgraph Standard["Standard Options"]
        EU[European]
        AM[American]
        BE[Bermuda]
    end

    subgraph PathDependent["Path-Dependent"]
        AS[Asian]
        LB[Lookback]
        BA[Barrier]
        CL[Cliquet]
    end

    subgraph MultiAsset["Multi-Asset"]
        RB[Rainbow]
        SP[Spread]
        EX[Exchange]
    end

    subgraph Special["Special Payoffs"]
        BI[Binary]
        PW[Power]
        QU[Quanto]
        CO[Compound]
        CH[Chooser]
    end

    subgraph Forward["Forward-Priced"]
        FUT[Future]
        FWD[Forward]
    end

    subgraph FX["FX / Currency"]
        FX_S[FX Spot]
    end

    BS[black_scholes] --> EU
    BS --> PathDependent
    BS --> MultiAsset
    BS --> Special
    B76[black_76] --> Forward
    GK[garman_kohlhagen] --> FX
    BAW[barone_adesi_whaley] --> AM
    BIN[binomial_model] --> AM
    BIN --> BE
    MC[monte_carlo] --> PathDependent

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Strategy Traits System

classDiagram
    class Strategable {
        <<trait>>
        Master trait combining all capabilities
    }

    class BasicAble {
        <<trait>>
        +get_underlying_price()
        +get_underlying_symbol()
        +get_expiration()
        +get_title()
    }

    class Positionable {
        <<trait>>
        +get_positions()
        +add_position()
        +modify_position()
    }

    class Strategies {
        <<trait>>
        +get_net_premium_received()
        +get_max_profit()
        +get_max_loss()
        +get_total_cost()
    }

    class BreakEvenable {
        <<trait>>
        +get_break_even_points()
        +calculate_break_even()
    }

    class Profit {
        <<trait>>
        +get_point_at_price()
        +calculate_profit_at()
    }

    class Greeks {
        <<trait>>
        +delta()
        +gamma()
        +theta()
        +vega()
    }

    class DeltaNeutrality {
        <<trait>>
        +get_delta()
        +suggest_delta_adjustments()
    }

    class Graph {
        <<trait>>
        +to_plot()
        +write_html()
        +write_png()
    }

    Strategable --|> BasicAble
    Strategable --|> Positionable
    Strategable --|> Strategies
    Strategable --|> BreakEvenable
    Strategable --|> Profit
    Strategable --|> Greeks
    Strategable --|> DeltaNeutrality
    Strategable --|> Graph

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Metrics Framework

flowchart LR
    subgraph OptionChain
        OC[OptionChain]
    end

    subgraph Curves["Curve Metrics"]
        IV_C[IV Curve]
        RR_C[Risk Reversal]
        DG_C[Dollar Gamma]
        TH_C[Theta Curve]
        VA_C[Vanna Curve]
        SK_C[Skew Curve]
    end

    subgraph Surfaces["Surface Metrics"]
        IV_S[IV Surface]
        TH_S[Theta Surface]
        CH_S[Charm Surface]
        VS_S[Vol Sensitivity]
        TD_S[Time Decay]
    end

    OC --> Curves
    OC --> Surfaces
    Curves --> |"2D Analysis"| Analysis[Risk Analysis]
    Surfaces --> |"3D Analysis"| Analysis

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Observability

Public hot paths are annotated with #[tracing::instrument]. Enable a subscriber in the consumer crate (the library itself never installs one) to surface structured spans:

flowchart LR
    APP[Consumer application] -- "installs" --> SUB["tracing_subscriber"]

    subgraph Spans["Instrumented public fns"]
        BS["pricing::black_scholes\n(strike, style, side)"]
        MC["pricing::monte_carlo_option_pricing\n(steps, simulations, strike, style, side)"]
        BI["pricing::price_binomial\n(strike, asset, steps, style, side)"]
        IV["volatility::implied_volatility\n(market_price, strike, max_iterations)"]
        OPT["Optimizable::get_best_ratio/area\n(side, criteria)"]
    end

    BS --> SUB
    MC --> SUB
    BI --> SUB
    IV --> SUB
    OPT --> SUB

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Trading Strategies

OptionStratLib provides 25+ comprehensive trading strategies organized by complexity and market outlook:

Single Leg Strategies

Basic directional strategies for beginners:

• Long Call: Bullish strategy with unlimited upside potential
• Short Call: Bearish strategy collecting premium with limited profit
• Long Put: Bearish strategy with high profit potential
• Short Put: Bullish strategy collecting premium with assignment risk

Spread Strategies

Defined risk strategies with limited profit/loss:

• Bull Call Spread: Moderately bullish with limited risk and reward
• Bear Call Spread: Moderately bearish credit spread
• Bull Put Spread: Moderately bullish credit spread
• Bear Put Spread: Moderately bearish debit spread

Butterfly Strategies

Market neutral strategies profiting from low volatility:

• Long Butterfly Spread: Profits from price staying near middle strike
• Short Butterfly Spread: Profits from price moving away from middle strike
• Call Butterfly: Butterfly using only call options

Complex Multi-Leg Strategies

Advanced strategies for experienced traders:

• Iron Condor: Market neutral strategy with wide profit zone
• Iron Butterfly: Market neutral strategy with narrow profit zone

Volatility Strategies

Strategies that profit from volatility changes:

• Long Straddle: Profits from high volatility in either direction
• Short Straddle: Profits from low volatility (range-bound market)
• Long Strangle: Similar to straddle but with different strikes
• Short Strangle: Credit strategy profiting from low volatility

Income Generation Strategies

Strategies focused on generating regular income:

• Covered Call: Stock/spot ownership with call selling for income (now with full spot leg support)
• Poor Man's Covered Call: LEAPS-based covered call alternative

Protection Strategies

Risk management and hedging strategies:

• Protective Put: Downside protection for stock positions
• Collar: Combination of covered call and protective put

Custom Strategy Framework

• Custom Strategy: Flexible framework for creating any multi-leg strategy
• Supports unlimited number of legs
• Full integration with all analysis tools
• Complete trait implementation for consistency

Strategy Analysis Features

All strategies include comprehensive analysis capabilities:

• Profit/Loss Analysis: P&L at any price point and time
• Break-Even Points: Multiple break-even calculations
• Greeks Analysis: Real-time risk metrics
• Probability Analysis: Success probability calculations
• Delta Neutrality: Delta-neutral position analysis
• Visualization: Interactive payoff diagrams and risk profiles
• Optimization: Find optimal strikes and expirations

Strategy Traits System

All strategies implement a comprehensive trait system:

• Strategable: Master trait combining all strategy capabilities
• BasicAble: Basic strategy information (symbol, price, etc.)
• Positionable: Position management and modification
• Strategies: Core strategy calculations (P&L, break-even, etc.)
• Validable: Strategy validation and error checking
• BreakEvenable: Break-even point calculations
• Profit: Profit/loss analysis at various price points
• Greeks: Greeks calculations for risk management
• DeltaNeutrality: Delta-neutral analysis and adjustments
• ProbabilityAnalysis: Outcome probability calculations
• Graph: Visualization and plotting capabilities

Setup Instructions

Prerequisites

• Rust 1.85 or higher (Rust 2024 edition)
• Cargo package manager

Installation

Add OptionStratLib to your Cargo.toml:

[dependencies]
optionstratlib = "0.18.0"

Or use cargo to add it to your project:

cargo add optionstratlib

Optional Features

The library includes optional features for enhanced functionality:

[dependencies]
optionstratlib = { version = "0.18.0", features = ["plotly"] }

• plotly: Enables interactive visualization using plotly.rs
• static_export: PNG / SVG export via plotly_static (pulls in async runtime)
• async: Enables asynchronous I/O operations for OptionChain and OHLCV data (tokio + reqwest + futures)

Building from Source

Clone the repository and build using Cargo:

git clone https://github.com/joaquinbejar/OptionStratLib.git
cd OptionStratLib
cargo build --release

Run comprehensive test suite:

cargo test --all-features

Generate documentation:

cargo doc --open --all-features

Run benchmarks:

cargo bench

Library Usage

Basic Option Creation and Pricing

use optionstratlib::{Options, OptionStyle, OptionType, Side, ExpirationDate};
use positive::{pos_or_panic,Positive};
use rust_decimal_macros::dec;
use optionstratlib::greeks::Greeks;

fn main() -> Result<(), optionstratlib::error::Error> {
    // Create a European call option
    let option = Options::new(
        OptionType::European,
        Side::Long,
        "AAPL".to_string(),
        pos_or_panic!(150.0),            // strike_price
        ExpirationDate::Days(pos_or_panic!(30.0)),
        pos_or_panic!(0.25),             // implied_volatility
        Positive::ONE,              // quantity
        pos_or_panic!(155.0),            // underlying_price
        dec!(0.05),             // risk_free_rate
        OptionStyle::Call,
        pos_or_panic!(0.02),             // dividend_yield
        None,                   // exotic_params
    );

    // Calculate option price using Black-Scholes
    let price = option.calculate_price_black_scholes()?;
    tracing::info!("Option price: ${:.2}", price);

    // Calculate Greeks for risk management
    let delta = option.delta()?;
    let gamma = option.gamma()?;
    let theta = option.theta()?;
    let vega = option.vega()?;
    let vanna = option.vanna()?;
    let vomma = option.vomma()?;
    let veta = option.veta()?;
    let charm = option.charm()?;
    let color = option.color()?;
    tracing::info!("Greeks - Delta: {:.4}, Gamma: {:.4}, Theta: {:.4},
        Vega: {:.4}, Vanna: {:.4}, Vomma: {:.4}, Veta: {:.4}
        Charm: {:.4}, Color: {:.4}",
        delta, gamma, theta, vega, vanna, vomma, veta, charm, color);
    Ok(())
}

Working with Trading Strategies

use positive::{Positive, pos_or_panic};
use optionstratlib::ExpirationDate;
use optionstratlib::strategies::Strategies;
use optionstratlib::strategies::bull_call_spread::BullCallSpread;
use optionstratlib::strategies::base::{BreakEvenable, BasicAble};
use optionstratlib::visualization::Graph;
use rust_decimal_macros::dec;
use std::error::Error;

fn main() -> Result<(), optionstratlib::error::Error> {
    use optionstratlib::pricing::Profit;
let underlying_price = Positive::HUNDRED;

    // Create a Bull Call Spread strategy
    let strategy = BullCallSpread::new(
        "AAPL".to_string(),
        underlying_price,
        pos_or_panic!(95.0),   // long_strike
        pos_or_panic!(105.0),  // short_strike
        ExpirationDate::Days(pos_or_panic!(30.0)),
        pos_or_panic!(0.25),   // implied_volatility
        dec!(0.05),   // risk_free_rate
        pos_or_panic!(2.50),   // long_call_premium
        pos_or_panic!(2.50),   // long_call_open_fee
        pos_or_panic!(1.20),   // short_call_premium
        pos_or_panic!(1.20),   // short_call_close_fee
        Default::default(), Default::default(),
        Default::default(), Default::default()
    )?;

    // Analyze the strategy
    tracing::info!("Strategy: {}", strategy.get_title());
    tracing::info!("Break-even points: {:?}", strategy.get_break_even_points()?);
    tracing::info!("Max profit: ${:.2}", strategy.get_max_profit().unwrap_or(Positive::ZERO));
    tracing::info!("Max loss: ${:.2}", strategy.get_max_loss().unwrap_or(Positive::ZERO));
    tracing::info!("Net premium: ${:.2}", strategy.get_net_premium_received()?);

    // Calculate P&L at different price points
    let prices = vec![pos_or_panic!(90.0), pos_or_panic!(95.0), Positive::HUNDRED, pos_or_panic!(105.0), pos_or_panic!(110.0)];
    for price in prices {
        let pnl = strategy.get_point_at_price(&price)?;
        tracing::info!("P&L at ${}: ${:.2}", price, pnl.0);
    }

    // Generate visualization
    #[cfg(feature = "plotly")]
    {
        strategy.write_html("Draws/Visualization/bull_call_spread.html".as_ref())?;
    }

    Ok(())
}

Advanced Features: Volatility Analysis

use optionstratlib::prelude::*;

fn main() -> Result<(), optionstratlib::error::Error> {
    // Create an option for implied volatility calculation
    let mut option = Options::new(
        OptionType::European,
        Side::Long,
        "AAPL".to_string(),
        pos_or_panic!(105.0), // strike
        ExpirationDate::Days(pos_or_panic!(90.0)),
        pos_or_panic!(0.20), // initial IV guess
        Positive::ONE, // quantity
        Positive::HUNDRED, // underlying price
        dec!(0.05), // risk free rate
        OptionStyle::Call,
        pos_or_panic!(0.02), // dividend yield
        None,
    );

    let market_price = pos_or_panic!(5.50);
    let iv = implied_volatility(market_price, &mut option, 100)?;

    tracing::info!("Implied volatility: {:.2}%", iv.to_f64() * 100.0);
    Ok(())
}

Custom Strategy Creation

use optionstratlib::prelude::*;

fn main() -> Result<(), optionstratlib::error::Error> {
    // Define common parameters
    let underlying_symbol = "DAX".to_string();
    let underlying_price = pos_or_panic!(24000.0);
    let expiration = ExpirationDate::Days(pos_or_panic!(30.0));
    let implied_volatility = pos_or_panic!(0.25);
    let risk_free_rate = dec!(0.05);
    let dividend_yield = pos_or_panic!(0.02);
    let fee = Positive::TWO;

    // Create a long put option
    let long_put_option = Options::new(
        OptionType::European,
        Side::Long,
        underlying_symbol.clone(),
        pos_or_panic!(24070.0), // strike
        expiration.clone(),
        implied_volatility,
        Positive::ONE, // quantity
        underlying_price,
        risk_free_rate,
        OptionStyle::Put,
        dividend_yield,
        None,
    );
    let long_put = Position::new(
        long_put_option,
        pos_or_panic!(150.0), // premium
        Utc::now(),
        fee,
        fee,
        None,
        None,
    );

    // Create a long call option
    let long_call_option = Options::new(
        OptionType::European,
        Side::Long,
        underlying_symbol.clone(),
        pos_or_panic!(24030.0), // strike
        expiration.clone(),
        implied_volatility,
        Positive::ONE, // quantity
        underlying_price,
        risk_free_rate,
        OptionStyle::Call,
        dividend_yield,
        None,
    );
    let long_call = Position::new(
        long_call_option,
        pos_or_panic!(120.0), // premium
        Utc::now(),
        fee,
        fee,
        None,
        None,
    );

    // Create CustomStrategy with the positions
    let positions = vec![long_call, long_put];
    let strategy = CustomStrategy::new(
        "DAX Straddle Strategy".to_string(),
        underlying_symbol,
        "A DAX long straddle strategy".to_string(),
        underlying_price,
        positions,
        Positive::ONE,
        30,
        implied_volatility,
    )?;

    tracing::info!("Strategy created: {}", strategy.get_title());
    Ok(())
}

Testing

OptionStratLib ships with a large, fully deterministic test suite (3760 unit / integration tests + 205 doctests + property- and identity-based regressions):

Running Tests

Run all tests:

cargo test --all-features

Run tests for specific modules:

cargo test strategies::bull_call_spread
cargo test pricing::black_scholes
cargo test volatility::utils

Run tests with output:

cargo test -- --nocapture

Test Categories

• Unit Tests: Individual function and method testing
• Integration Tests: Cross-module functionality under tests/
• Strategy Tests: Comprehensive strategy validation
• Pricing Model Tests: Accuracy and performance testing
• Greeks Tests: Mathematical precision validation
• Visualization Tests: Chart generation and export testing
• Property-Based Tests: Mathematical invariant testing with proptest (tests/property/put_call_parity_test.rs, greeks_bounds_test.rs)
• Identity Regression Tests: tests/unit/pricing/identities_test.rs locks put-call parity, CRR → Black-Scholes convergence, and Greek sanity (Γ_c = Γ_p, Vega_c = Vega_p, Δ_c − Δ_p ≈ e^{-qT}).
• Deterministic Monte-Carlo Tests: Seeded via [utils::deterministic_rng] so arithmetic-precision shifts can't flip assertions.
• Exotic Options Tests: Complete coverage for all 14 exotic option types.

Benchmarking

Run performance benchmarks:

cargo bench

Generate test coverage report:

cargo tarpaulin --all-features --out Html

Examples

Examples live in self-contained sub-crates under examples/, each with its own Cargo.toml:

• examples_strategies/: 25+ strategy demos
• examples_strategies_best/: Optimizer entry points (get_best_area / get_best_ratio) per strategy
• examples_strategies_delta/: Delta-neutrality workflows
• examples_chain/: Option chain construction, import/export, and async I/O
• examples_curves/: Greek curves (charm, color, d1, d2, delta, gamma, rho, theta, …) and vector curves
• examples_surfaces/: 3-D volatility surfaces
• examples_metrics/: Price / risk / liquidity / stress / temporal / composite metric curves and surfaces
• examples_volatility/: Implied-volatility solver walkthroughs
• examples_simulation/: Monte-Carlo random-walk demos for LongCall, ShortPut, position / strategy simulators, and random-walk-of-chain
• examples_exotics/: Exotic option pricing (barrier, cliquet, …)
• examples_visualization/: Interactive chart wiring

Run any binary with the usual cargo invocation (from the repo root, so relative data-fixture paths resolve correctly):

cargo run --manifest-path=examples/examples_strategies/Cargo.toml \
    --bin strategy_bull_call_spread
cargo run --manifest-path=examples/examples_simulation/Cargo.toml \
    --bin long_call_strategy_simulation --features plotly
cargo run --manifest-path=examples/examples_metrics/Cargo.toml \
    --bin implied_volatility_surface

Simulation-heavy demos (*_strategy_simulation, position_simulator, strategy_simulator, random_walk_chain) use a demo-friendly hourly grid so cargo run finishes in a few seconds in debug mode; bump n_steps / n_simulations inside the binary if you want a finer sample.

Contribution and Contact

Contributing

Contributions are welcome! Please follow these guidelines:

1. Fork the repository
2. Create a feature branch: git checkout -b feature/amazing-feature
3. Commit your changes: git commit -m 'Add amazing feature'
4. Push to the branch: git push origin feature/amazing-feature
5. Open a Pull Request

Development Setup

git clone https://github.com/joaquinbejar/OptionStratLib.git
cd OptionStratLib
cargo build --all-features
cargo test --all-features

Code Quality

• All code must pass cargo clippy without warnings
• Format code with cargo fmt
• Add tests for new functionality
• Update documentation for API changes
• Follow Rust 2024 edition best practices

Support

• Issues: Report bugs and request features on GitHub
• Discussions: Join community discussions on GitHub Discussions
• Documentation: Comprehensive docs available at docs.rs

---

OptionStratLib v0.18.0 - Built with ❤️ in Rust for the financial community

Contribution and Contact

We welcome contributions to this project! If you would like to contribute, please follow these steps:

1. Fork the repository.
2. Create a new branch for your feature or bug fix.
3. Make your changes and ensure that the project still builds and all tests pass.
4. Commit your changes and push your branch to your forked repository.
5. Submit a pull request to the main repository.

If you have any questions, issues, or would like to provide feedback, please feel free to contact the project maintainer:

Contact Information

• Author: Joaquín Béjar García
• Email: jb@taunais.com
• Telegram: @joaquin_bejar
• Repository: https://github.com/joaquinbejar/OptionStratLib
• Documentation: https://docs.rs/optionstratlib

We appreciate your interest and look forward to your contributions!

✍️ License

Licensed under MIT license