Module: PureGreeks::Engines::FallbackChain

Defined in:
lib/pure_greeks/engines/fallback_chain.rb

Class Method Summary collapse

Class Method Details

.calculate(exercise_style:, type:, strike:, underlying_price:, time_to_expiry:, implied_volatility:, risk_free_rate:, dividend_yield:) ⇒ Object 



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# File 'lib/pure_greeks/engines/fallback_chain.rb', line 12

def calculate(exercise_style:, type:, strike:, underlying_price:, time_to_expiry:,
              implied_volatility:, risk_free_rate:, dividend_yield:)
  return Intrinsic.calculate(type: type, strike: strike, underlying_price: underlying_price) if implied_volatility <= 0.0

  engine_args = {
    type: type,
    strike: strike,
    underlying_price: underlying_price,
    time_to_expiry: time_to_expiry,
    implied_volatility: implied_volatility,
    risk_free_rate: risk_free_rate,
    dividend_yield: dividend_yield
  }

  if exercise_style == :american
    begin
      return CrrBinomialAmerican.calculate(**engine_args)
    rescue StandardError
      # fall through to BS European
    end
  end

  begin
    return BlackScholesEuropean.calculate(**engine_args)
  rescue StandardError
    # fall through to intrinsic
  end

  Intrinsic.calculate(type: type, strike: strike, underlying_price: underlying_price)
end