fix

Cargo.toml

@@ -3,11 +3,16 @@ name = "cqf"
 version = "0.1.0"
 edition = "2021"
 
-[dependencies]
-ndarray = "0.15"
-rand = "0.8"
-rand_distr = "0.4"
+authors = ["[email protected]"]
+repository = "https://github.com/liberxue/cqf"
+homepage = "https://github.com/liberxue"
 
-[lib]
-name = "cqf"
-path = "src/lib.rs"
+
+[workspace]
+members = ["bench", "cli", "core"]
+
+
+[profile.release]
+lto = true
+codegen-units = 1
+strip = "symbols"

Makefile

@@ -0,0 +1,49 @@
+.PHONY: init
+# init env
+init:
+	@echo "init"
+
+.PHONY:fmt
+# cargo fmt
+fmt:
+	@cargo fmt -v 
+
+.PHONY:unitTest
+# unit Test
+test:
+	@export RUST_LOG=info
+	@cargo test -v 
+
+.PHONY: build
+# cargo build
+build:
+@ if [ "$(OS)" == "Windows_NT" ]; then \
+    cargo clean && cargo check && cargo build --release --target=x86_64-pc-windows-gnu; \
+elif [ "$(shell uname)" == "Darwin" ]; then \
+    cargo clean && cargo check && cargo build --release --target=x86_64-apple-darwin; \
+else \
+    cargo clean && cargo check && cargo build --release --target=x86_64-unknown-linux-musl; \
+fi
+
+.PHONY: all
+# generate all
+all:
+	@echo "make all done"
+
+# show help
+help:
+	@echo ''
+	@echo 'Usage:'
+	@echo ' make [target]'
+	@echo ''
+	@echo 'Targets:'
+	@awk '/^[a-zA-Z\-\_0-9]+:/ { \
+	helpMessage = match(lastLine, /^# (.*)/); \
+		if (helpMessage) { \
+			helpCommand = substr($$1, 0, index($$1, ":")-1); \
+			helpMessage = substr(lastLine, RSTART + 2, RLENGTH); \
+			printf "\033[36m%-22s\033[0m %s\n", helpCommand,helpMessage; \
+		} \
+	} \
+	{ lastLine = $$0 }' $(MAKEFILE_LIST)
+.DEFAULT_GOAL := help

bench/Cargo.toml

@@ -0,0 +1,8 @@
+[package]
+name = "bench"
+version = "0.1.0"
+edition = "2021"
+
+[[bin]]
+name = "bench"
+path = "src/main.rs"

cli/Cargo.toml

@@ -0,0 +1,12 @@
+[package]
+name = "cli"
+version = "0.1.0"
+edition = "2021"
+authors = ["[email protected]"]
+repository = "https://github.com/liberxue/cqf"
+homepage = "https://github.com/liberxue"
+[[bin]]
+name = "cli"
+path = "src/main.rs"
+
+[dependencies]

cli/src/main.rs

@@ -0,0 +1,3 @@
+fn main() {
+    println!("Hello, world!");
+}

core/Cargo.toml

@@ -0,0 +1,18 @@
+[package]
+name = "core"
+version = "0.1.0"
+edition = "2021"
+
+[dependencies]
+
+[lib]
+path = "src/lib.rs"
+
+
+rand = "0.8"
+rand_distr = "0.4"
+
+
+[[test]]
+name = "core_tests"
+path = "tests/black_scholes_tests.rs"

core/src/main.rs

@@ -0,0 +1,3 @@
+fn main() {
+    println!("Hello, world!");
+}

src/models/black_scholes.rs → core/src/models/black_scholes.rs

@@ -21,12 +21,12 @@ fn standard_normal_cdf(x: f64) -> f64 {
 }
 
 fn erf(x: f64) -> f64 {
-    let a1 =  0.254829592;
+    let a1 = 0.254829592;
     let a2 = -0.284496736;
-    let a3 =  1.421413741;
+    let a3 = 1.421413741;
     let a4 = -1.453152027;
-    let a5 =  1.061405429;
-    let p  =  0.3275911;
+    let a5 = 1.061405429;
+    let p = 0.3275911;
 
     let sign = if x < 0.0 { -1.0 } else { 1.0 };
     let x = x.abs();
@@ -36,4 +36,3 @@ fn erf(x: f64) -> f64 {
 
     sign * y
 }
-

src/models/mod.rs → core/src/models/mod.rs

@@ -1,7 +1,6 @@
 pub mod black_scholes;
 pub mod monte_carlo;
 
-
 pub trait OptionPricingModel {
     fn call_price(&self, s: f64, k: f64, r: f64, sigma: f64, t: f64) -> f64;
     fn put_price(&self, s: f64, k: f64, r: f64, sigma: f64, t: f64) -> f64;

src/models/monte_carlo.rs → core/src/models/monte_carlo.rs

@@ -1,7 +1,7 @@
 extern crate rand;
+use crate::models::OptionPricingModel;
 use rand::Rng;
 use rand_distr::StandardNormal;
-use crate::models::OptionPricingModel;
 
 pub struct MonteCarloModel {
     pub simulations: usize,
@@ -34,4 +34,3 @@ impl OptionPricingModel for MonteCarloModel {
         (payoff_sum / self.simulations as f64) * (-r * t).exp()
     }
 }
-

core/src/strategies/butterfly.rs

@@ -0,0 +1,52 @@
+use crate::models::OptionPricingModel;
+use crate::strategies::OptionStrategy;
+
+pub struct ButterflySpread<'a, T: OptionPricingModel> {
+    pub model: &'a T,
+    pub s: f64,
+    pub k1: f64,
+    pub k2: f64,
+    pub k3: f64,
+    pub r: f64,
+    pub sigma: f64,
+    pub t: f64,
+}
+
+impl<'a, T: OptionPricingModel> ButterflySpread<'a, T> {
+    pub fn new(
+        model: &'a T,
+        s: f64,
+        k1: f64,
+        k2: f64,
+        k3: f64,
+        r: f64,
+        sigma: f64,
+        t: f64,
+    ) -> Self {
+        Self {
+            model,
+            s,
+            k1,
+            k2,
+            k3,
+            r,
+            sigma,
+            t,
+        }
+    }
+}
+
+impl<'a, T: OptionPricingModel> OptionStrategy for ButterflySpread<'a, T> {
+    fn price(&self) -> f64 {
+        let c1 = self
+            .model
+            .call_price(self.s, self.k1, self.r, self.sigma, self.t);
+        let c2 = self
+            .model
+            .call_price(self.s, self.k2, self.r, self.sigma, self.t);
+        let c3 = self
+            .model
+            .call_price(self.s, self.k3, self.r, self.sigma, self.t);
+        c1 - 2.0 * c2 + c3
+    }
+}