chore: Upgrade to 1.0.0

chore: Apply formatter (as many as possible)
nakashima-hikaru · Aug 11, 2024 · 5cd21dd · 5cd21dd
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diff --git a/Cargo.toml b/Cargo.toml
@@ -1,6 +1,6 @@
 [package]
 name = "implied-vol"
-version = "0.2.2"
+version = "1.0.0"
 authors = ["Hikaru Nakashima <nakashima.alg57@gmail.com>"]
 description = "A pure rust implementation of Peter Jäckel's implied volatility calculation"
 edition = "2021"

diff --git a/README.md b/README.md
@@ -5,7 +5,7 @@
 [![License: MIT](https://img.shields.io/badge/License-MIT-yellow.svg)](https://opensource.org/licenses/MIT)
 
 More information about this crate can be found in
-the [crate documentation](https://docs.rs/implied-vol/0.2/implied_vol/).
+the [crate documentation](https://docs.rs/implied-vol/1.0/implied_vol/).
 
 ## About
 

diff --git a/src/bachelier.rs b/src/bachelier.rs
@@ -1,16 +1,27 @@
-use std::cmp::Ordering;
 use crate::constants::{ONE_OVER_SQRT_TWO_PI, SQRT_TWO_PI};
 use crate::normal_distribution::norm_pdf;
+use std::cmp::Ordering;
 
 #[inline]
 fn intrinsic_value(forward: f64, strike: f64, q: bool) -> f64 {
-    (if !q { strike - forward } else { forward - strike }).max(0.0).abs()
+    (if !q {
+        strike - forward
+    } else {
+        forward - strike
+    })
+    .max(0.0)
+    .abs()
 }
 
 fn phi_tilde_times_x(x: f64) -> f64 {
     if x.abs() <= 0.612_003_180_962_480_7 {
         let h = (x * x - 1.872_739_467_540_974_8E-1) * 5.339_771_053_755_08;
-        let g = (1.964_154_984_377_470_3E-1 + h * (2.944_481_222_626_891_4E-3 + 3.095_828_855_856_471E-5 * h)) / (1.0 + h * (3.026_101_684_659_232_6E-2 + h * (3.373_546_191_189_62E-4 + h * (1.290_112_376_540_573_2E-6 - 1.671_197_583_524_420_5E-9 * h))));
+        let g = (1.964_154_984_377_470_3E-1
+            + h * (2.944_481_222_626_891_4E-3 + 3.095_828_855_856_471E-5 * h))
+            / (1.0
+                + h * (3.026_101_684_659_232_6E-2
+                    + h * (3.373_546_191_189_62E-4
+                        + h * (1.290_112_376_540_573_2E-6 - 1.671_197_583_524_420_5E-9 * h))));
         return ONE_OVER_SQRT_TWO_PI + x * (0.5 + x * g);
     }
 
@@ -19,12 +30,42 @@ fn phi_tilde_times_x(x: f64) -> f64 {
     }
 
     if x >= -3.5 {
-        let g = (3.989_422_804_009_617_5E-1 + x * ((-2.882_725_012_271_64E-1) + x * (1.174_893_477_005_507_4E-1 + x * ((-2.920_893_049_832_423_4E-2) + x * (4.670_481_708_734_893E-3 + x * ((-4.444_840_548_247_636E-4) + x * (1.986_526_744_238_593_6E-5 + x * (7.638_739_347_414_361E-10 + 1.329_152_522_013_758_3E-11 * x)))))))) / (1.0 + x * ((-1.975_906_139_672_860_6) + x * (1.770_933_219_893_362_5 + x * ((-9.435_025_002_644_624E-1) + x * (3.281_611_814_538_859_5E-1 + x * ((-7.669_740_808_821_474E-2) + x * (1.184_322_430_309_622_3E-2 + x * ((-1.115_141_636_552_486_1E-3) + 4.974_100_533_375_869E-5 * x))))))));
+        let g = (3.989_422_804_009_617_5E-1
+            + x * ((-2.882_725_012_271_64E-1)
+                + x * (1.174_893_477_005_507_4E-1
+                    + x * ((-2.920_893_049_832_423_4E-2)
+                        + x * (4.670_481_708_734_893E-3
+                            + x * ((-4.444_840_548_247_636E-4)
+                                + x * (1.986_526_744_238_593_6E-5
+                                    + x * (7.638_739_347_414_361E-10
+                                        + 1.329_152_522_013_758_3E-11 * x))))))))
+            / (1.0
+                + x * ((-1.975_906_139_672_860_6)
+                    + x * (1.770_933_219_893_362_5
+                        + x * ((-9.435_025_002_644_624E-1)
+                            + x * (3.281_611_814_538_859_5E-1
+                                + x * ((-7.669_740_808_821_474E-2)
+                                    + x * (1.184_322_430_309_622_3E-2
+                                        + x * ((-1.115_141_636_552_486_1E-3)
+                                            + 4.974_100_533_375_869E-5 * x))))))));
         return (-0.5 * (x * x)).exp() * g;
     }
 
     let w = (x * x).recip();
-    let g = (2.999_999_999_999_991 + w * (2.365_455_662_782_315E2 + w * (6.812_677_344_935_879E3 + w * (8.969_794_159_836_079E4 + w * (5.516_392_059_126_862E5 + w * (1.434_506_112_333_566_2E6 + w * (1.150_498_824_634_488_2E6 + 1.186_760_040_099_769_1E4 * w))))))) / (1.0 + w * (8.384_852_209_273_714E1 + w * (2.655_135_058_780_958E3 + w * (4.055_529_088_467_379E4 + w * (3.166_737_476_299_376_6E5 + w * (1.232_979_595_802_432_2E6 + w * (2.140_981_054_061_905E6 + 1.214_566_780_409_316E6 * w)))))));
+    let g = (2.999_999_999_999_991
+        + w * (2.365_455_662_782_315E2
+            + w * (6.812_677_344_935_879E3
+                + w * (8.969_794_159_836_079E4
+                    + w * (5.516_392_059_126_862E5
+                        + w * (1.434_506_112_333_566_2E6
+                            + w * (1.150_498_824_634_488_2E6 + 1.186_760_040_099_769_1E4 * w)))))))
+        / (1.0
+            + w * (8.384_852_209_273_714E1
+                + w * (2.655_135_058_780_958E3
+                    + w * (4.055_529_088_467_379E4
+                        + w * (3.166_737_476_299_376_6E5
+                            + w * (1.232_979_595_802_432_2E6
+                                + w * (2.140_981_054_061_905E6 + 1.214_566_780_409_316E6 * w)))))));
     ONE_OVER_SQRT_TWO_PI * (-0.5 * (x * x)).exp() * w * (1.0 - g * w)
 }
 
@@ -44,23 +85,26 @@ fn inv_phi_tilde(phi_tilde_star: f64) -> f64 {
         let g = (phi_tilde_star - 0.5).recip();
         let g2 = g * g;
         // Equation (2.2)
-        let xi_bar = (0.032114372355 - g2 * (0.016969777977 - g2 * (0.002620733246 - 0.000096066952861 * g2))) /
-            (1.0 - g2 * (0.6635646938 - g2 * (0.14528712196 - 0.010472855461 * g2)));
+        let xi_bar = (0.032114372355
+            - g2 * (0.016969777977 - g2 * (0.002620733246 - 0.000096066952861 * g2)))
+            / (1.0 - g2 * (0.6635646938 - g2 * (0.14528712196 - 0.010472855461 * g2)));
         // Equation (2.3)
         g * (ONE_OVER_SQRT_TWO_PI + xi_bar * g2)
     } else {
         // Equation (2.4)
         let h = (-(-phi_tilde_star).ln()).sqrt();
         // Equation (2.5)
-        (9.4883409779 - h * (9.6320903635 - h * (0.58556997323 + 2.1464093351 * h))) /
-            (1.0 - h * (0.65174820867 + h * (1.5120247828 + 0.000066437847132 * h)))
+        (9.4883409779 - h * (9.6320903635 - h * (0.58556997323 + 2.1464093351 * h)))
+            / (1.0 - h * (0.65174820867 + h * (1.5120247828 + 0.000066437847132 * h)))
     };
     // Equation (2.7)
     let q = (phi_tilde(x_bar) - phi_tilde_star) / norm_pdf(x_bar);
     let x2 = x_bar * x_bar;
     // Equation (2.6)
-    x_bar + 3.0 * q * x2 * (2.0 - q * x_bar * (2.0 + x2)) /
-        (6.0 + q * x_bar * (-12.0 + x_bar * (6.0 * q + x_bar * (-6.0 + q * x_bar * (3.0 + x2)))))
+    x_bar
+        + 3.0 * q * x2 * (2.0 - q * x_bar * (2.0 + x2))
+            / (6.0
+                + q * x_bar * (-12.0 + x_bar * (6.0 * q + x_bar * (-6.0 + q * x_bar * (3.0 + x2)))))
 }
 
 /// Calculates the price of an option using Bachelier's model.
@@ -81,19 +125,29 @@ pub(crate) fn bachelier(forward: f64, strike: f64, sigma: f64, t: f64, q: bool)
     if s < f64::MIN_POSITIVE {
         return intrinsic_value(forward, strike, q);
     }
-    let moneyness = if q { forward - strike } else { strike - forward };
+    let moneyness = if q {
+        forward - strike
+    } else {
+        strike - forward
+    };
     let x = moneyness / s;
     s * phi_tilde_times_x(x)
 }
 
-pub(crate) fn implied_normal_volatility(price: f64, forward: f64, strike: f64, t: f64, q: bool) -> f64 {
+pub(crate) fn implied_normal_volatility(
+    price: f64,
+    forward: f64,
+    strike: f64,
+    t: f64,
+    q: bool,
+) -> f64 {
     if forward == strike {
         return price * SQRT_TWO_PI / t.sqrt();
     }
     let intrinsic = intrinsic_value(forward, strike, q);
     match price.total_cmp(&intrinsic) {
-        Ordering::Less => { f64::NEG_INFINITY }
-        Ordering::Equal => { 0.0 }
+        Ordering::Less => f64::NEG_INFINITY,
+        Ordering::Equal => 0.0,
         Ordering::Greater => {
             let absolute_moneyness = (forward - strike).abs();
             let phi_tilde_star = (intrinsic - price) / absolute_moneyness;
@@ -103,11 +157,10 @@ pub(crate) fn implied_normal_volatility(price: f64, forward: f64, strike: f64, t
     }
 }
 
-
 #[cfg(test)]
 mod tests {
-    use rand::Rng;
     use super::*;
+    use rand::Rng;
 
     #[test]
     fn reconstruction_call_atm() {
@@ -191,7 +244,6 @@ mod tests {
         }
     }
 
-
     #[test]
     fn reconstruction_random_put_itm() {
         let n = 100_000;
@@ -227,4 +279,4 @@ mod tests {
             assert!((price - reprice).abs() <= 2.0 * f64::EPSILON);
         }
     }
-}
+}
diff --git a/src/constants.rs b/src/constants.rs
@@ -17,5 +17,3 @@ pub(crate) const ONE_OVER_SQRT_TWO_PI: f64 = 0.3989422804014327;
 pub(crate) const VOLATILITY_VALUE_TO_SIGNAL_PRICE_IS_BELOW_INTRINSIC: f64 = f64::NEG_INFINITY;
 pub(crate) const VOLATILITY_VALUE_TO_SIGNAL_PRICE_IS_ABOVE_MAXIMUM: f64 = f64::INFINITY;
 pub(crate) const HALF_OF_LN_TWO_PI: f64 = 0.918_938_533_204_672_8;
-
-
diff --git a/src/erf_cody.rs b/src/erf_cody.rs
@@ -216,9 +216,7 @@ pub(crate) fn erfcx_cody(x: f64) -> f64 {
 
 #[cfg(test)]
 mod tests {
-    use crate::erf_cody::{
-        erfc_cody, erfcx_cody, THRESH, XBIG, XHUGE, XMAX, XNEG,
-    };
+    use crate::erf_cody::{erfc_cody, erfcx_cody, THRESH, XBIG, XHUGE, XMAX, XNEG};
 
     #[test]
     fn calerf_1() {

diff --git a/src/lib.rs b/src/lib.rs
@@ -21,7 +21,7 @@
 //!
 //! ```toml
 //! [dependencies]
-//! implied-vol = "0.2.2"
+//! implied-vol = "1.0.0"
 //! ```
 //!
 //! Then, in your code, bring the functions you need into scope with:
@@ -44,18 +44,17 @@
 //!
 //! ```toml
 //! [dependencies]
-//! implied-vol = { versions = "0.2.2", features = ["normal-distribution", "error-function"] }
+//! implied-vol = { versions = "1.0.0", features = ["normal-distribution", "error-function"] }
 //! ```
 //!
 //! For detailed explanations of each feature, please refer to the README.md file.
 
-
+mod bachelier;
+mod constants;
 mod erf_cody;
+mod lets_be_rational;
 mod normal_distribution;
 mod rational_cubic;
-mod lets_be_rational;
-mod bachelier;
-mod constants;
 
 /// Calculates the implied black volatility using a transformed rational guess with limited iterations.
 ///
@@ -78,7 +77,13 @@ mod constants;
 /// assert_eq!(black_vol, 0.07011701801482094);
 /// ```
 #[inline]
-pub fn implied_black_volatility(option_price: f64, forward: f64, strike: f64, expiry: f64, is_call: bool) -> f64 {
+pub fn implied_black_volatility(
+    option_price: f64,
+    forward: f64,
+    strike: f64,
+    expiry: f64,
+    is_call: bool,
+) -> f64 {
     lets_be_rational::implied_black_volatility(option_price, forward, strike, expiry, is_call)
 }
 
@@ -103,7 +108,13 @@ pub fn implied_black_volatility(option_price: f64, forward: f64, strike: f64, ex
 /// assert!((price - 20.0).abs()<= 2.0 * f64::EPSILON * 20.0);
 /// ```
 #[inline]
-pub fn calculate_european_option_price_by_black_scholes(forward: f64, strike: f64, volatility: f64, expiry: f64, is_call: bool) -> f64 {
+pub fn calculate_european_option_price_by_black_scholes(
+    forward: f64,
+    strike: f64,
+    volatility: f64,
+    expiry: f64,
+    is_call: bool,
+) -> f64 {
     lets_be_rational::black(forward, strike, volatility, expiry, is_call)
 }
 
@@ -127,7 +138,13 @@ pub fn calculate_european_option_price_by_black_scholes(forward: f64, strike: f6
 /// let normal_vol = implied_vol::implied_normal_volatility(20.0, 100.0, 90.0, 30.0, true);
 /// assert_eq!(normal_vol, 6.614292466299764);
 /// ```
-pub fn implied_normal_volatility(option_price: f64, forward: f64, strike: f64, expiry: f64, is_call: bool) -> f64 {
+pub fn implied_normal_volatility(
+    option_price: f64,
+    forward: f64,
+    strike: f64,
+    expiry: f64,
+    is_call: bool,
+) -> f64 {
     bachelier::implied_normal_volatility(option_price, forward, strike, expiry, is_call)
 }
 
@@ -152,7 +169,13 @@ pub fn implied_normal_volatility(option_price: f64, forward: f64, strike: f64, e
 /// assert!((price - 20.0).abs()<= 2.0 * f64::EPSILON * 20.0);
 /// ```
 #[inline]
-pub fn calculate_european_option_price_by_bachelier(forward: f64, strike: f64, volatility: f64, expiry: f64, is_call: bool) -> f64 {
+pub fn calculate_european_option_price_by_bachelier(
+    forward: f64,
+    strike: f64,
+    volatility: f64,
+    expiry: f64,
+    is_call: bool,
+) -> f64 {
     bachelier::bachelier(forward, strike, volatility, expiry, is_call)
 }
 
@@ -270,4 +293,4 @@ pub fn norm_cdf(x: f64) -> f64 {
 #[inline]
 pub fn inverse_norm_cdf(x: f64) -> f64 {
     normal_distribution::inverse_norm_cdf(x)
-}
+}
diff --git a/src/normal_distribution.rs b/src/normal_distribution.rs
@@ -1,5 +1,5 @@
-use std::f64::consts::FRAC_1_SQRT_2;
 use crate::erf_cody::erfc_cody;
+use std::f64::consts::FRAC_1_SQRT_2;
 
 const NORM_CDF_ASYMPTOTIC_EXPANSION_FIRST_THRESHOLD: f64 = -10.0;
 const NORM_CDF_ASYMPTOTIC_EXPANSION_SECOND_THRESHOLD: f64 = -67108864.0;
@@ -41,7 +41,6 @@ pub(crate) fn norm_cdf(z: f64) -> f64 {
     0.5 * erfc_cody(-z * FRAC_1_SQRT_2)
 }
 
-
 pub(crate) fn inverse_norm_cdf(u: f64) -> f64 {
     //
     // ALGORITHM AS241  APPL. STATIST. (1988) VOL. 37, NO. 3
@@ -113,21 +112,24 @@ pub(crate) fn inverse_norm_cdf(u: f64) -> f64 {
     let q = u - 0.5;
     if q.abs() <= SPLIT1 {
         let r = CONST1 - q * q;
-        q * (((((((A7 * r + A6) * r + A5) * r + A4) * r + A3) * r + A2) * r + A1) * r + A0) /
-            (((((((B7 * r + B6) * r + B5) * r + B4) * r + B3) * r + B2) * r + B1) * r + 1.0)
+        q * (((((((A7 * r + A6) * r + A5) * r + A4) * r + A3) * r + A2) * r + A1) * r + A0)
+            / (((((((B7 * r + B6) * r + B5) * r + B4) * r + B3) * r + B2) * r + B1) * r + 1.0)
     } else {
         let mut r = if q.is_sign_negative() { u } else { 1.0 - u };
         r = (-r.ln()).sqrt();
-        let ret =
-            if r < SPLIT2 {
-                r -= CONST2;
-                (((((((C7 * r + C6) * r + C5) * r + C4) * r + C3) * r + C2) * r + C1) * r + C0) /
-                    (((((((D7 * r + D6) * r + D5) * r + D4) * r + D3) * r + D2) * r + D1) * r + 1.0)
-            } else {
-                r -= SPLIT2;
-                (((((((E7 * r + E6) * r + E5) * r + E4) * r + E3) * r + E2) * r + E1) * r + E0) /
-                    (((((((F7 * r + F6) * r + F5) * r + F4) * r + F3) * r + F2) * r + F1) * r + 1.0)
-            };
-        if q.is_sign_negative() { -ret } else { ret }
+        let ret = if r < SPLIT2 {
+            r -= CONST2;
+            (((((((C7 * r + C6) * r + C5) * r + C4) * r + C3) * r + C2) * r + C1) * r + C0)
+                / (((((((D7 * r + D6) * r + D5) * r + D4) * r + D3) * r + D2) * r + D1) * r + 1.0)
+        } else {
+            r -= SPLIT2;
+            (((((((E7 * r + E6) * r + E5) * r + E4) * r + E3) * r + E2) * r + E1) * r + E0)
+                / (((((((F7 * r + F6) * r + F5) * r + F4) * r + F3) * r + F2) * r + F1) * r + 1.0)
+        };
+        if q.is_sign_negative() {
+            -ret
+        } else {
+            ret
+        }
     }
-}
+}
Original file line number	Diff line number	Diff line change
Expand Up		@@ -17,5 +17,3 @@ pub(crate) const ONE_OVER_SQRT_TWO_PI: f64 = 0.3989422804014327;
		pub(crate) const VOLATILITY_VALUE_TO_SIGNAL_PRICE_IS_BELOW_INTRINSIC: f64 = f64::NEG_INFINITY;
		pub(crate) const VOLATILITY_VALUE_TO_SIGNAL_PRICE_IS_ABOVE_MAXIMUM: f64 = f64::INFINITY;
		pub(crate) const HALF_OF_LN_TWO_PI: f64 = 0.918_938_533_204_672_8;