chore: Add benchmark test for implied normal vol

benches/bench.rs → benches/implied_black_vol.rs

@@ -4,11 +4,11 @@ use rand::Rng;
 
 extern crate test;
 
-use test::Bencher;
 use implied_vol::implied_black_volatility;
+use test::Bencher;
 
 #[bench]
-fn bench_call_atm(b: &mut Bencher) {
+fn call_atm(b: &mut Bencher) {
     let price = 0.01;
     let f = 100.0;
     let k = f;
@@ -18,7 +18,7 @@ fn bench_call_atm(b: &mut Bencher) {
 }
 
 #[bench]
-fn bench_call_itm(b: &mut Bencher) {
+fn call_itm(b: &mut Bencher) {
     let seed: [u8; 32] = [13; 32];
     let mut rng: rand::rngs::StdRng = rand::SeedableRng::from_seed(seed);
     let (r, r2, r3): (f64, f64, f64) = rng.gen();
@@ -31,7 +31,7 @@ fn bench_call_itm(b: &mut Bencher) {
 }
 
 #[bench]
-fn bench_call_otm(b: &mut Bencher) {
+fn call_otm(b: &mut Bencher) {
     let seed: [u8; 32] = [13; 32];
     let mut rng: rand::rngs::StdRng = rand::SeedableRng::from_seed(seed);
     let (r, r2, r3): (f64, f64, f64) = rng.gen();
@@ -44,7 +44,7 @@ fn bench_call_otm(b: &mut Bencher) {
 }
 
 #[bench]
-fn bench_put_atm(b: &mut Bencher) {
+fn put_atm(b: &mut Bencher) {
     let price = 0.01;
     let f = 100.0;
     let k = f;
@@ -53,7 +53,7 @@ fn bench_put_atm(b: &mut Bencher) {
     b.iter(|| implied_black_volatility(price, f, k, t, q));
 }
 #[bench]
-fn bench_put_itm(b: &mut Bencher) {
+fn put_itm(b: &mut Bencher) {
     let seed: [u8; 32] = [13; 32];
     let mut rng: rand::rngs::StdRng = rand::SeedableRng::from_seed(seed);
     let (r, r2, r3): (f64, f64, f64) = rng.gen();
@@ -66,7 +66,7 @@ fn bench_put_itm(b: &mut Bencher) {
 }
 
 #[bench]
-fn bench_put_otm(b: &mut Bencher) {
+fn put_otm(b: &mut Bencher) {
     let seed: [u8; 32] = [13; 32];
     let mut rng: rand::rngs::StdRng = rand::SeedableRng::from_seed(seed);
     let (r, r2, r3): (f64, f64, f64) = rng.gen();
@@ -76,4 +76,4 @@ fn bench_put_otm(b: &mut Bencher) {
     let t = 1e5 * r3;
     let q = false;
     b.iter(|| implied_black_volatility(price, f, k, t, q));
-}
+}

benches/implied_normal_vol.rs

@@ -0,0 +1,79 @@
+#![feature(test)]
+
+use rand::Rng;
+
+extern crate test;
+
+use implied_vol::implied_normal_volatility;
+use test::Bencher;
+
+#[bench]
+fn call_atm(b: &mut Bencher) {
+    let price = 0.01;
+    let f = 100.0;
+    let k = f;
+    let t = 1.0;
+    let q = true;
+    b.iter(|| implied_normal_volatility(price, f, k, t, q));
+}
+
+#[bench]
+fn call_itm(b: &mut Bencher) {
+    let seed: [u8; 32] = [13; 32];
+    let mut rng: rand::rngs::StdRng = rand::SeedableRng::from_seed(seed);
+    let (r, r2, r3): (f64, f64, f64) = rng.gen();
+    let price = 1.0 * (1.0 - r) + 1.0 * r * r2;
+    let f = 1.0;
+    let k = 1.0 * r;
+    let t = 1e5 * r3;
+    let q = true;
+    b.iter(|| implied_normal_volatility(price, f, k, t, q));
+}
+
+#[bench]
+fn call_otm(b: &mut Bencher) {
+    let seed: [u8; 32] = [13; 32];
+    let mut rng: rand::rngs::StdRng = rand::SeedableRng::from_seed(seed);
+    let (r, r2, r3): (f64, f64, f64) = rng.gen();
+    let price = 1.0 * r * r2;
+    let f = 1.0 * r;
+    let k = 1.0;
+    let t = 1e5 * r3;
+    let q = true;
+    b.iter(|| implied_normal_volatility(price, f, k, t, q));
+}
+
+#[bench]
+fn put_atm(b: &mut Bencher) {
+    let price = 0.01;
+    let f = 100.0;
+    let k = f;
+    let t = 1.0;
+    let q = false;
+    b.iter(|| implied_normal_volatility(price, f, k, t, q));
+}
+#[bench]
+fn put_itm(b: &mut Bencher) {
+    let seed: [u8; 32] = [13; 32];
+    let mut rng: rand::rngs::StdRng = rand::SeedableRng::from_seed(seed);
+    let (r, r2, r3): (f64, f64, f64) = rng.gen();
+    let price = 1.0 * r * r2;
+    let f = 1.0;
+    let k = 1.0 * r;
+    let t = 1e5 * r3;
+    let q = false;
+    b.iter(|| implied_normal_volatility(price, f, k, t, q));
+}
+
+#[bench]
+fn put_otm(b: &mut Bencher) {
+    let seed: [u8; 32] = [13; 32];
+    let mut rng: rand::rngs::StdRng = rand::SeedableRng::from_seed(seed);
+    let (r, r2, r3): (f64, f64, f64) = rng.gen();
+    let price = 1.0 * (1.0 - r) + 1.0 * r * r2;
+    let f = 1.0 * r;
+    let k = 1.0;
+    let t = 1e5 * r3;
+    let q = false;
+    b.iter(|| implied_normal_volatility(price, f, k, t, q));
+}