feat: Implement Quanto option pricing model

examples/examples_exotics/src/bin/cliquet_example.rs

@@ -49,6 +49,9 @@ fn main() {
             spread_second_asset_volatility: None,
             spread_second_asset_dividend: None,
             spread_correlation: None,
+            quanto_fx_volatility: None,
+            quanto_fx_correlation: None,
+            quanto_foreign_rate: None,
         }),
     );
 

src/model/format.rs

@@ -124,6 +124,18 @@ impl fmt::Display for ExoticParams {
             fields.push(format!("Spread Correlation: {corr:.4}"));
         }
 
+        if let Some(ref vol) = self.quanto_fx_volatility {
+            fields.push(format!("Quanto FX Volatility: {vol}"));
+        }
+
+        if let Some(corr) = self.quanto_fx_correlation {
+            fields.push(format!("Quanto FX Correlation: {corr:.4}"));
+        }
+
+        if let Some(rate) = self.quanto_foreign_rate {
+            fields.push(format!("Quanto Foreign Rate: {rate:.4}"));
+        }
+
         write!(f, "{}", fields.join(", "))
     }
 }
@@ -462,6 +474,9 @@ mod tests_options {
             spread_second_asset_volatility: None,
             spread_second_asset_dividend: None,
             spread_correlation: None,
+            quanto_fx_volatility: None,
+            quanto_fx_correlation: None,
+            quanto_foreign_rate: None,
         };
         let naive_date = NaiveDate::from_ymd_opt(2024, 8, 8)
             .expect("Invalid date")
@@ -497,7 +512,7 @@ mod tests_options {
             Quantity: 5\n\
             Risk-free Rate: 1.50%\n\
             Dividend Yield: 1%\n\
-            Exotic Parameters: ExoticParams { spot_prices: None, spot_min: None, spot_max: None, cliquet_local_cap: None, cliquet_local_floor: None, cliquet_global_cap: None, cliquet_global_floor: None, rainbow_second_asset_price: None, rainbow_second_asset_volatility: None, rainbow_second_asset_dividend: None, rainbow_correlation: None, spread_second_asset_volatility: None, spread_second_asset_dividend: None, spread_correlation: None }";
+            Exotic Parameters: ExoticParams { spot_prices: None, spot_min: None, spot_max: None, cliquet_local_cap: None, cliquet_local_floor: None, cliquet_global_cap: None, cliquet_global_floor: None, rainbow_second_asset_price: None, rainbow_second_asset_volatility: None, rainbow_second_asset_dividend: None, rainbow_correlation: None, spread_second_asset_volatility: None, spread_second_asset_dividend: None, spread_correlation: None, quanto_fx_volatility: None, quanto_fx_correlation: None, quanto_foreign_rate: None }";
 
         assert_eq!(display_output, expected_output);
     }

src/model/option.rs

@@ -87,6 +87,16 @@ pub struct ExoticParams {
     /// Correlation between the two underlying assets for Spread options.
     /// Must be between -1.0 and 1.0.
     pub spread_correlation: Option<Decimal>, // Spread
+
+    /// Volatility of the exchange rate for Quanto options.
+    pub quanto_fx_volatility: Option<Positive>, // Quanto
+
+    /// Correlation between the underlying asset and the exchange rate for Quanto options.
+    /// Must be between -1.0 and 1.0.
+    pub quanto_fx_correlation: Option<Decimal>, // Quanto
+
+    /// Foreign risk-free interest rate for Quanto options.
+    pub quanto_foreign_rate: Option<Decimal>, // Quanto
 }
 
 /// Represents a financial option contract with its essential parameters and characteristics.

src/pricing/black_scholes_model.rs

@@ -78,10 +78,7 @@ pub fn black_scholes(option: &Options) -> Result<Decimal, PricingError> {
         OptionType::Cliquet { .. } => crate::pricing::cliquet::cliquet_black_scholes(option),
         OptionType::Rainbow { .. } => crate::pricing::rainbow::rainbow_black_scholes(option),
         OptionType::Spread { .. } => crate::pricing::spread::spread_black_scholes(option),
-        OptionType::Quanto { .. } => Err(PricingError::unsupported_option_type(
-            "Quanto",
-            "Black-Scholes",
-        )),
+        OptionType::Quanto { .. } => crate::pricing::quanto::quanto_black_scholes(option),
         OptionType::Exchange { .. } => Err(PricingError::unsupported_option_type(
             "Exchange",
             "Black-Scholes",

src/pricing/cliquet.rs

@@ -235,6 +235,9 @@ mod tests {
                 spread_second_asset_volatility: None,
                 spread_second_asset_dividend: None,
                 spread_correlation: None,
+                quanto_fx_volatility: None,
+                quanto_fx_correlation: None,
+                quanto_foreign_rate: None,
             }),
         )
     }

src/pricing/mod.rs

@@ -187,6 +187,9 @@ pub mod rainbow;
 /// Spread option pricing (price differential options).
 pub mod spread;
 
+/// Quanto option pricing (currency-protected options).
+pub mod quanto;
+
 /// Black-Scholes model for option pricing and analysis.
 ///
 /// This module implements the Black-Scholes-Merton model for European option pricing
@@ -289,6 +292,7 @@ pub use compound::compound_black_scholes;
 pub use lookback::lookback_black_scholes;
 pub use monte_carlo::monte_carlo_option_pricing;
 pub use payoff::{Payoff, PayoffInfo, Profit};
+pub use quanto::quanto_black_scholes;
 pub use rainbow::rainbow_black_scholes;
 pub use spread::spread_black_scholes;
 pub use telegraph::{TelegraphProcess, telegraph};