nautilus_model/ffi/data/greeks.rs
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// -------------------------------------------------------------------------------------------------
// Copyright (C) 2015-2024 Nautech Systems Pty Ltd. All rights reserved.
// https://nautechsystems.io
//
// Licensed under the GNU Lesser General Public License Version 3.0 (the "License");
// You may not use this file except in compliance with the License.
// You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html
//
// Unless required by applicable law or agreed to in writing, software
// distributed under the License is distributed on an "AS IS" BASIS,
// WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
// See the License for the specific language governing permissions and
// limitations under the License.
// -------------------------------------------------------------------------------------------------
use crate::data::greeks::{
black_scholes_greeks, imply_vol, imply_vol_and_greeks, BlackScholesGreeksResult,
ImplyVolAndGreeksResult,
};
#[no_mangle]
pub extern "C" fn greeks_black_scholes_greeks(
s: f64,
r: f64,
b: f64,
sigma: f64,
is_call: u8,
k: f64,
t: f64,
multiplier: f64,
) -> BlackScholesGreeksResult {
black_scholes_greeks(s, r, b, sigma, is_call != 0, k, t, multiplier)
}
#[no_mangle]
pub extern "C" fn greeks_imply_vol(
s: f64,
r: f64,
b: f64,
is_call: u8,
k: f64,
t: f64,
price: f64,
) -> f64 {
imply_vol(s, r, b, is_call != 0, k, t, price)
}
#[no_mangle]
pub extern "C" fn greeks_imply_vol_and_greeks(
s: f64,
r: f64,
b: f64,
is_call: u8,
k: f64,
t: f64,
price: f64,
multiplier: f64,
) -> ImplyVolAndGreeksResult {
imply_vol_and_greeks(s, r, b, is_call != 0, k, t, price, multiplier)
}