Merge pull request #174 from lukaskiss222/feature/implied_volatility

Implied volatility calculation based on lets be rational paper

Cargo.toml

@@ -97,6 +97,10 @@ tokio-test = { version = "0.4.2", optional = true }
 yahoo_finance_api = { version = "2.0.0", optional = true }
 
 
+# https://docs.rs/errorfunctions/latest/errorfunctions/
+errorfunctions = "0.2.0"
+
+
 [dev-dependencies]
 finitediff = "0.1.4" # https://docs.rs/finitediff/latest/finitediff/
 

src/instruments/mod.rs

@@ -95,10 +95,9 @@ pub use bonds::*;
 pub mod options {
     pub use crate::instruments::options::{
         american::*, asian::*, bachelier::*, barrier::*, binary::*, binomial::*,
-        black_scholes_merton::*, european::*, forward_start::*, greeks::*, heston::*, lookback::*,
-        merton_jump_diffusion::*, option::*, power::*,
+        black_scholes_merton::*, european::*, forward_start::*, greeks::*, heston::*,
+        implied_volatility::*, lookback::*, merton_jump_diffusion::*, option::*, power::*,
     };
-
     /// American option pricers.
     pub mod american;
     /// Asian option pricers.
@@ -121,6 +120,8 @@ pub mod options {
     pub mod greeks;
     /// Heston model option pricer.
     pub mod heston;
+    /// Implied volatility functions.
+    pub mod implied_volatility;
     /// Lookback option pricers.
     pub mod lookback;
     /// Merton (1976) jump diffusion model.

src/instruments/options/black_scholes_merton.rs

@@ -138,9 +138,9 @@ impl BlackScholesMerton {
         }
     }
 
-    // Compute the year fraction between two dates.
+    /// Compute the year fraction between two dates.
     #[must_use]
-    fn year_fraction(&self) -> f64 {
+    pub fn year_fraction(&self) -> f64 {
         DayCounter::day_count_factor(
             self.evaluation_date.unwrap_or(OffsetDateTime::now_utc()),
             self.expiration_date,