Add historical data-based chain builder example

Introduced `historical_build_chain.rs` to demonstrate option chain simulation using historical price data and volatility adjustments. Minor updates were made to `random_walk_build_chain.rs`, including reorganization of imports and parameter changes. Updated drawings for both simulation types.

Author: joaquinbejar

Draws/Simulation/historical_build_chain.png

@@ -0,0 +1,114 @@
+use optionstratlib::chains::chain::OptionChain;
+use optionstratlib::chains::utils::OptionDataPriceParams;
+use optionstratlib::chains::{OptionChainBuildParams, generator_optionchain};
+use optionstratlib::simulation::randomwalk::RandomWalk;
+use optionstratlib::simulation::steps::{Step, Xstep, Ystep};
+use optionstratlib::simulation::{WalkParams, WalkType, WalkTypeAble};
+use optionstratlib::utils::others::calculate_log_returns;
+use optionstratlib::utils::time::{TimeFrame, get_x_days_formatted};
+use optionstratlib::utils::{read_ohlcv_from_zip, setup_logger};
+use optionstratlib::visualization::utils::{Graph, GraphBackend};
+use optionstratlib::volatility::{adjust_volatility, constant_volatility};
+use optionstratlib::{ExpirationDate, Positive, pos};
+use rust_decimal::Decimal;
+use rust_decimal_macros::dec;
+use tracing::{debug, info};
+
+#[warn(dead_code)]
+struct Walker {}
+
+impl Walker {
+    fn new() -> Self {
+        Walker {}
+    }
+}
+
+impl WalkTypeAble<Positive, OptionChain> for Walker {}
+
+fn main() -> Result<(), Box<dyn std::error::Error>> {
+    setup_logger();
+
+    let ohlc = read_ohlcv_from_zip("examples/Data/cl-1m-sample.zip", None, None)?;
+    let ohlc = ohlc.iter().take(1000).collect::<Vec<_>>(); // Take only 1000 minutes
+    let prices: Vec<Positive> = ohlc.iter().map(|x| Positive::from(x.close)).collect();
+    let log_returns: Vec<Decimal> = calculate_log_returns(&prices)?
+        .iter()
+        .map(|p| p.to_dec())
+        .collect();
+    let implied_volatility = adjust_volatility(
+        constant_volatility(&log_returns)?,
+        TimeFrame::Minute,
+        TimeFrame::Year,
+    )?;
+
+    info!("Volatility {}", implied_volatility);
+    info!("Prices Lenght: {}", prices.len());
+
+    let n_steps = prices.len();
+    let underlying_price = prices[0];
+    let days = pos!(30.0);
+    // let std_dev = implied_volatility * 100.0;
+    let risk_free_rate = dec!(0.02);
+    let dividend_yield = pos!(0.01);
+    let symbol = "AAPL".to_string();
+    let volume = Some(Positive::ONE);
+    let chain_size = 30;
+    let strike_interval = pos!(1.0);
+    let skew_factor = dec!(0.0005);
+    let spread = pos!(0.01);
+    let decimal_places = 2;
+
+    let price_params = OptionDataPriceParams::new(
+        underlying_price,
+        ExpirationDate::Days(days),
+        Some(implied_volatility),
+        risk_free_rate,
+        dividend_yield,
+        Some(symbol.clone()),
+    );
+    let build_params = OptionChainBuildParams::new(
+        symbol,
+        volume,
+        chain_size,
+        strike_interval,
+        skew_factor,
+        spread,
+        decimal_places,
+        price_params,
+    );
+    let mut initial_chain = OptionChain::build_chain(&build_params);
+    initial_chain.update_expiration_date(get_x_days_formatted(2));
+    let walker = Box::new(Walker::new());
+
+    let walk_params = WalkParams {
+        size: n_steps,
+        init_step: Step {
+            x: Xstep::new(Positive::ONE, TimeFrame::Minute, ExpirationDate::Days(days)),
+            y: Ystep::new(0, initial_chain),
+        },
+        walk_type: WalkType::Historical {
+            timeframe: TimeFrame::Minute,
+            prices,
+        },
+        walker: walker,
+    };
+
+    let random_walk = RandomWalk::new(
+        "Random Walk".to_string(),
+        &walk_params,
+        generator_optionchain,
+    );
+    debug!("Random Walk: {}", random_walk);
+
+    random_walk.graph(
+        GraphBackend::Bitmap {
+            file_path: "Draws/Simulation/historical_build_chain.png",
+            size: (1200, 800),
+        },
+        20,
+    )?;
+    info!("First Chain: {}", random_walk.first().unwrap().y.value());
+    info!("Last Chain: {}", random_walk.last().unwrap().y.value());
+
+    Ok(())
+}

Draws/Simulation/random_walk_build_chain.png

@@ -1,5 +1,6 @@
 use optionstratlib::chains::chain::OptionChain;
-use optionstratlib::chains::{generator_optionchain, OptionChainBuildParams};
+use optionstratlib::chains::utils::OptionDataPriceParams;
+use optionstratlib::chains::{OptionChainBuildParams, generator_optionchain};
 use optionstratlib::simulation::randomwalk::RandomWalk;
 use optionstratlib::simulation::steps::{Step, Xstep, Ystep};
 use optionstratlib::simulation::{WalkParams, WalkType, WalkTypeAble};
@@ -9,7 +10,6 @@ use optionstratlib::visualization::utils::{Graph, GraphBackend};
 use optionstratlib::{ExpirationDate, Positive, pos};
 use rust_decimal_macros::dec;
 use tracing::{debug, info};
-use optionstratlib::chains::utils::OptionDataPriceParams;
 
 #[warn(dead_code)]
 struct Walker {}
@@ -24,11 +24,12 @@ impl WalkTypeAble<Positive, OptionChain> for Walker {}
 
 fn main() -> Result<(), Box<dyn std::error::Error>> {
     setup_logger();
-    let n_steps = 43_200; // 30 days in minutes
+    // let n_steps = 43_200; // 30 days in minutes
+    let n_steps = 5; // 30 days in minutes
     let underlying_price = pos!(150.0);
     let days = pos!(30.0);
     let std_dev = pos!(20.0);
-    let implied_volatility = Some(std_dev/100.0);
+    let implied_volatility = Some(std_dev / 100.0);
     let risk_free_rate = dec!(0.02);
     let dividend_yield = pos!(0.01);
     let symbol = "AAPL".to_string();
@@ -38,7 +39,7 @@ fn main() -> Result<(), Box<dyn std::error::Error>> {
     let skew_factor = dec!(0.00001);
     let spread = pos!(0.01);
     let decimal_places = 2;
-    
+
     let price_params = OptionDataPriceParams::new(
         underlying_price,
         ExpirationDate::Days(days),
@@ -60,15 +61,15 @@ fn main() -> Result<(), Box<dyn std::error::Error>> {
     let mut initial_chain = OptionChain::build_chain(&build_params);
     initial_chain.update_expiration_date(get_x_days_formatted(2));
     let walker = Box::new(Walker::new());
-    
+
     let walk_params = WalkParams {
         size: n_steps,
         init_step: Step {
             x: Xstep::new(Positive::ONE, TimeFrame::Minute, ExpirationDate::Days(days)),
             y: Ystep::new(0, initial_chain),
         },
         walk_type: WalkType::GeometricBrownian {
-            dt: convert_time_frame(pos!(1.0) / days, &TimeFrame::Minute, &TimeFrame::Day), 
+            dt: convert_time_frame(pos!(1.0) / days, &TimeFrame::Minute, &TimeFrame::Day),
             drift: dec!(0.0),
             volatility: std_dev,
         },