feat(greeks): Garman-Kohlhagen FX Greeks (delta/gamma/vega/theta/rho_d/rho_f)

Cargo.toml

@@ -1,6 +1,6 @@
 [package]
 name = "optionstratlib"
-version = "0.17.2"
+version = "0.17.3"
 edition = "2024"
 authors = ["Joaquin Bejar <jb@taunais.com>"]
 description = "OptionStratLib is a comprehensive Rust library for options trading and strategy development across multiple asset classes."

examples/examples_pricing/Cargo.toml

@@ -23,3 +23,7 @@ path = "src/bin/black_76_greeks.rs"
 [[bin]]
 name = "garman_kohlhagen"
 path = "src/bin/garman_kohlhagen.rs"
+
+[[bin]]
+name = "garman_kohlhagen_greeks"
+path = "src/bin/garman_kohlhagen_greeks.rs"

examples/examples_pricing/src/bin/garman_kohlhagen_greeks.rs

@@ -0,0 +1,118 @@
+/******************************************************************************
+   Author: Joaquín Béjar García
+   Email: jb@taunais.com
+   Date: 2026-04-27
+******************************************************************************/
+
+//! Garman–Kohlhagen Greeks example — EUR/USD scenario.
+//!
+//! Computes spot delta, gamma, vega, theta, domestic rho, and foreign rho
+//! for ATM, ITM, and OTM calls and puts on a 6-month EUR/USD option, then
+//! demonstrates spot delta-parity (`Δ_call − Δ_put = e^(-r_f·T)`) and the
+//! `GarmanKohlhagenGreeks` trait.
+
+use optionstratlib::error::greeks::GreeksError;
+use optionstratlib::greeks::{
+    GarmanKohlhagenGreeks, delta_gk, gamma_gk, rho_domestic_gk, rho_foreign_gk, theta_gk, vega_gk,
+};
+use optionstratlib::model::types::{OptionStyle, OptionType, Side};
+use optionstratlib::pricing::garman_kohlhagen;
+use optionstratlib::{ExpirationDate, Options};
+use positive::{Positive, pos_or_panic};
+use rust_decimal::MathematicalOps;
+use rust_decimal_macros::dec;
+use tracing::info;
+
+fn build_option(s: f64, k: f64, style: OptionStyle) -> Options {
+    Options::new(
+        OptionType::European,
+        Side::Long,
+        "EURUSD".to_string(),
+        pos_or_panic!(k),
+        ExpirationDate::Days(pos_or_panic!(180.0)),
+        pos_or_panic!(0.10),
+        Positive::ONE,
+        pos_or_panic!(s),
+        dec!(0.045),
+        style,
+        pos_or_panic!(0.025),
+        None,
+    )
+}
+
+fn print_greeks(label: &str, opt: &Options) -> Result<(), Box<dyn std::error::Error>> {
+    let price = garman_kohlhagen(opt)?;
+    let delta = delta_gk(opt)?;
+    let gamma = gamma_gk(opt)?;
+    let vega = vega_gk(opt)?;
+    let theta = theta_gk(opt)?;
+    let rho_d = rho_domestic_gk(opt)?;
+    let rho_f = rho_foreign_gk(opt)?;
+    info!(
+        "{label:<6} S={s:>6} K={k:>6} | price={price:>9.6} Δ={delta:>9.6} Γ={gamma:>9.4} ν={vega:>9.6} Θ={theta:>10.6} ρd={rho_d:>9.6} ρf={rho_f:>9.6}",
+        label = label,
+        s = opt.underlying_price.to_dec(),
+        k = opt.strike_price.to_dec(),
+        price = price,
+        delta = delta,
+        gamma = gamma,
+        vega = vega,
+        theta = theta,
+        rho_d = rho_d,
+        rho_f = rho_f,
+    );
+    Ok(())
+}
+
+fn main() -> Result<(), Box<dyn std::error::Error>> {
+    tracing_subscriber::fmt()
+        .with_env_filter("info")
+        .without_time()
+        .init();
+
+    info!("=== Garman–Kohlhagen Greeks (6-month EUR/USD, σ=10%, r_d=4.5%, r_f=2.5%) ===");
+    info!("");
+    info!("Calls");
+    print_greeks("OTM", &build_option(1.05, 1.10, OptionStyle::Call))?;
+    print_greeks("ATM", &build_option(1.10, 1.10, OptionStyle::Call))?;
+    print_greeks("ITM", &build_option(1.15, 1.10, OptionStyle::Call))?;
+    info!("");
+    info!("Puts");
+    print_greeks("ITM", &build_option(1.05, 1.10, OptionStyle::Put))?;
+    print_greeks("ATM", &build_option(1.10, 1.10, OptionStyle::Put))?;
+    print_greeks("OTM", &build_option(1.15, 1.10, OptionStyle::Put))?;
+
+    // ---- Spot delta-parity --------------------------------------------
+    let call = build_option(1.10, 1.10, OptionStyle::Call);
+    let put = build_option(1.10, 1.10, OptionStyle::Put);
+    let dc = delta_gk(&call)?;
+    let dp = delta_gk(&put)?;
+    let years = call.expiration_date.get_years()?.to_dec();
+    let df_rf = (-call.dividend_yield.to_dec() * years).exp();
+    let diff = dc - dp;
+    info!("");
+    info!(
+        "Spot delta-parity: Δ_call − Δ_put = {diff:.10}, e^(-r_f·T) = {df:.10}, |err| = {err:.2e}",
+        diff = diff,
+        df = df_rf,
+        err = (diff - df_rf).abs(),
+    );
+
+    // ---- Trait usage --------------------------------------------------
+    struct FxQuote(Options);
+    impl GarmanKohlhagenGreeks for FxQuote {
+        fn get_option(&self) -> Result<&Options, GreeksError> {
+            Ok(&self.0)
+        }
+    }
+    let q = FxQuote(build_option(1.10, 1.10, OptionStyle::Call));
+    info!("");
+    info!(
+        "Trait usage: Δ={delta} ρd={rho_d} ρf={rho_f}",
+        delta = q.delta_gk()?,
+        rho_d = q.rho_domestic_gk()?,
+        rho_f = q.rho_foreign_gk()?,
+    );
+
+    Ok(())
+}