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Five probes per selected workload, 100 invocations per probe.", "allocations": [ { "id": "positive_control", "counts": [ 0, 0, 1, 1024, 0, 0, 1, 1024 ] }, { "id": "controls/bsm_price", "sample": 0, "loops": 100, "counts": [ 0, 0, 0, 0, 0, 0, 0, 0 ] }, { "id": "controls/bsm_price", "sample": 1, "loops": 100, "counts": [ 0, 0, 0, 0, 0, 0, 0, 0 ] }, { "id": "controls/bsm_price", "sample": 2, "loops": 100, "counts": [ 0, 0, 0, 0, 0, 0, 0, 0 ] }, { "id": "controls/bsm_price", "sample": 3, "loops": 100, "counts": [ 0, 0, 0, 0, 0, 0, 0, 0 ] }, { "id": "controls/bsm_price", "sample": 4, "loops": 100, "counts": [ 0, 0, 0, 0, 0, 0, 0, 0 ] }, { "id": "controls/black76_price", "sample": 0, "loops": 100, "counts": [ 0, 0, 0, 0, 0, 0, 0, 0 ] }, { "id": "controls/black76_price", "sample": 1, "loops": 100, "counts": [ 0, 0, 0, 0, 0, 0, 0, 0 ] }, { "id": "controls/black76_price", "sample": 2, "loops": 100, "counts": [ 0, 0, 0, 0, 0, 0, 0, 0 ] }, { "id": "controls/black76_price", "sample": 3, "loops": 100, "counts": [ 0, 0, 0, 0, 0, 0, 0, 0 ] }, { "id": "controls/black76_price", "sample": 4, "loops": 100, "counts": [ 0, 0, 0, 0, 0, 0, 0, 0 ] }, { "id": "controls/bsm_all", "sample": 0, "loops": 100, "counts": [ 0, 0, 0, 0, 0, 0, 0, 0 ] }, { "id": "controls/bsm_all", "sample": 1, "loops": 100, "counts": [ 0, 0, 0, 0, 0, 0, 0, 0 ] }, { "id": "controls/bsm_all", "sample": 2, "loops": 100, "counts": [ 0, 0, 0, 0, 0, 0, 0, 0 ] }, { "id": "controls/bsm_all", "sample": 3, "loops": 100, "counts": [ 0, 0, 0, 0, 0, 0, 0, 0 ] }, { "id": "controls/bsm_all", "sample": 4, "loops": 100, "counts": [ 0, 0, 0, 0, 0, 0, 0, 0 ] }, { "id": "controls/black76_all", "sample": 0, "loops": 100, "counts": [ 0, 0, 0, 0, 0, 0, 0, 0 ] }, { "id": "controls/black76_all", "sample": 1, "loops": 100, "counts": [ 0, 0, 0, 0, 0, 0, 0, 0 ] }, { "id": "controls/black76_all", "sample": 2, "loops": 100, "counts": [ 0, 0, 0, 0, 0, 0, 0, 0 ] }, { "id": "controls/black76_all", "sample": 3, "loops": 100, "counts": [ 0, 0, 0, 0, 0, 0, 0, 0 ] }, { "id": "controls/black76_all", "sample": 4, "loops": 100, "counts": [ 0, 0, 0, 0, 0, 0, 0, 0 ] }, { "id": "ordinary/call_price", "sample": 0, "loops": 100, "counts": [ 0, 0, 0, 0, 0, 0, 0, 0 ] }, { "id": "ordinary/call_price", "sample": 1, "loops": 100, "counts": [ 0, 0, 0, 0, 0, 0, 0, 0 ] }, { "id": "ordinary/call_price", "sample": 2, "loops": 100, "counts": [ 0, 0, 0, 0, 0, 0, 0, 0 ] }, { "id": "ordinary/call_price", "sample": 3, "loops": 100, "counts": [ 0, 0, 0, 0, 0, 0, 0, 0 ] }, { "id": "ordinary/call_price", "sample": 4, "loops": 100, "counts": [ 0, 0, 0, 0, 0, 0, 0, 0 ] }, { "id": "ordinary/call_all_resolved", "sample": 0, "loops": 100, "counts": [ 0, 0, 0, 0, 0, 0, 0, 0 ] }, { "id": "ordinary/call_all_resolved", "sample": 1, "loops": 100, "counts": [ 0, 0, 0, 0, 0, 0, 0, 0 ] }, { "id": "ordinary/call_all_resolved", "sample": 2, "loops": 100, "counts": [ 0, 0, 0, 0, 0, 0, 0, 0 ] }, { "id": "ordinary/call_all_resolved", "sample": 3, "loops": 100, "counts": [ 0, 0, 0, 0, 0, 0, 0, 0 ] }, { "id": "ordinary/call_all_resolved", "sample": 4, "loops": 100, "counts": [ 0, 0, 0, 0, 0, 0, 0, 0 ] }, { "id": "ordinary/put_price", "sample": 0, "loops": 100, "counts": [ 0, 0, 0, 0, 0, 0, 0, 0 ] }, { "id": "ordinary/put_price", "sample": 1, "loops": 100, "counts": [ 0, 0, 0, 0, 0, 0, 0, 0 ] }, { "id": "ordinary/put_price", "sample": 2, "loops": 100, "counts": [ 0, 0, 0, 0, 0, 0, 0, 0 ] }, { "id": "ordinary/put_price", "sample": 3, "loops": 100, "counts": [ 0, 0, 0, 0, 0, 0, 0, 0 ] }, { "id": "ordinary/put_price", "sample": 4, "loops": 100, "counts": [ 0, 0, 0, 0, 0, 0, 0, 0 ] }, { "id": "ordinary/put_all_resolved", "sample": 0, "loops": 100, "counts": [ 0, 0, 0, 0, 0, 0, 0, 0 ] }, { "id": "ordinary/put_all_resolved", "sample": 1, "loops": 100, "counts": [ 0, 0, 0, 0, 0, 0, 0, 0 ] }, { "id": "ordinary/put_all_resolved", "sample": 2, "loops": 100, "counts": [ 0, 0, 0, 0, 0, 0, 0, 0 ] }, { "id": "ordinary/put_all_resolved", "sample": 3, "loops": 100, "counts": [ 0, 0, 0, 0, 0, 0, 0, 0 ] }, { "id": "ordinary/put_all_resolved", "sample": 4, "loops": 100, "counts": [ 0, 0, 0, 0, 0, 0, 0, 0 ] }, { "id": "controls/european_iv_baseline", "sample": 0, "loops": 100, "counts": [ 0, 0, 0, 0, 0, 0, 0, 0 ] }, { "id": "controls/european_iv_baseline", "sample": 1, "loops": 100, "counts": [ 0, 0, 0, 0, 0, 0, 0, 0 ] }, { "id": "controls/european_iv_baseline", "sample": 2, "loops": 100, "counts": [ 0, 0, 0, 0, 0, 0, 0, 0 ] }, { "id": "controls/european_iv_baseline", "sample": 3, "loops": 100, "counts": [ 0, 0, 0, 0, 0, 0, 0, 0 ] }, { "id": "controls/european_iv_baseline", "sample": 4, "loops": 100, "counts": [ 0, 0, 0, 0, 0, 0, 0, 0 ] } ], "observations": { "A1": { "before": [ { "id": "controls/bsm_price", "inputs": "PricingInputs { option_type: Call, exercise_style: European, spot: 120.0, strike: 100.0, time_to_expiry: 0.75, rate: 0.03, dividend_yield: 0.01, volatility: 0.32 }; f64_bits=[405e000000000000,4059000000000000,3fe8000000000000,3f9eb851eb851eb8,3f847ae147ae147b,3fd47ae147ae147b]", "units_per_call": 1, "control": true, "result_debug": "Ok(25.492089012052705)" }, { "id": "controls/black76_price", "inputs": "PricingInputs { option_type: Call, exercise_style: European, spot: 4900.0, strike: 5000.0, time_to_expiry: 0.5, rate: 0.045, dividend_yield: 0.0, volatility: 0.27 }; f64_bits=[40b3240000000000,40b3880000000000,3fe0000000000000,3fa70a3d70a3d70a,0000000000000000,3fd147ae147ae148]", "units_per_call": 1, "control": true, "result_debug": "Ok(321.23730472498045)" }, { "id": "controls/bsm_all", "inputs": "PricingInputs { option_type: Call, exercise_style: European, spot: 120.0, strike: 100.0, time_to_expiry: 0.75, rate: 0.03, dividend_yield: 0.01, volatility: 0.32 }; f64_bits=[405e000000000000,4059000000000000,3fe8000000000000,3f9eb851eb851eb8,3f847ae147ae147b,3fd47ae147ae147b]", "units_per_call": 1, "control": true, "result_debug": "Ok(Greeks { price: 25.492089012052705, delta: 0.7965043257398099, gamma: 0.008292498274462608, theta: -0.019892440655369183, vega: 28.65887403654276, rho: 52.56632255754338, vanna: -0.49419627580829256, volga: 43.68476831073948, charm: 0.0002561413321583294, veta: -0.07227259172863033, color: 9.380022884777405e-6 })" }, { "id": "controls/black76_all", "inputs": "PricingInputs { option_type: Call, exercise_style: European, spot: 4900.0, strike: 5000.0, time_to_expiry: 0.5, rate: 0.045, dividend_yield: 0.0, volatility: 0.27 }; f64_bits=[40b3240000000000,40b3880000000000,3fe0000000000000,3fa70a3d70a3d70a,0000000000000000,3fd147ae147ae148]", "units_per_call": 1, "control": true, "result_debug": "Ok(Greeks { price: 321.23730472498045, delta: 0.48483503657605687, gamma: 0.000416936860896083, theta: -0.9600894813289477, vega: 1351.438294065519, rho: -160.61865236249022, vanna: 0.2907683167998518, volga: 10.436176579280037, charm: -0.00015531470928777384, veta: -3.543674900024592, color: 1.1913142478660794e-6 })" }, { "id": "ordinary/call_price", "inputs": "PricingInputs { option_type: Call, exercise_style: American, spot: 100.0, strike: 100.0, time_to_expiry: 1.0, rate: 0.05, dividend_yield: 0.03, volatility: 0.3 }; f64_bits=[4059000000000000,4059000000000000,3ff0000000000000,3fa999999999999a,3f9eb851eb851eb8,3fd3333333333333]", "units_per_call": 1, "control": false, "result_debug": "Ok(12.447033691971022)" }, { "id": "ordinary/call_all_resolved", "inputs": "PricingInputs { option_type: Call, exercise_style: American, spot: 100.0, strike: 100.0, time_to_expiry: 1.0, rate: 0.05, dividend_yield: 0.03, volatility: 0.3 }; f64_bits=[4059000000000000,4059000000000000,3ff0000000000000,3fa999999999999a,3f9eb851eb851eb8,3fd3333333333333]", "units_per_call": 1, "control": false, "result_debug": "Ok(Greeks { price: 12.447033691971022, delta: 0.5689092794178872, gamma: 0.012644620691797361, theta: -0.01700049989309349, vega: 37.90258242678792, rho: 43.6725848547475, vanna: 0.11185161692204085, volga: -1.2525637645885546, charm: -6.972293496969778e-5, veta: -0.047061234357295464, color: 1.884163035037705e-5 })" }, { "id": "ordinary/put_price", "inputs": "PricingInputs { option_type: Put, exercise_style: American, spot: 100.0, strike: 105.0, time_to_expiry: 0.5, rate: 0.03, dividend_yield: 0.01, volatility: 0.25 }; f64_bits=[4059000000000000,405a400000000000,3fe0000000000000,3f9eb851eb851eb8,3f847ae147ae147b,3fd0000000000000]", "units_per_call": 1, "control": false, "result_debug": "Ok(9.408847753107736)" }, { "id": "ordinary/put_all_resolved", "inputs": "PricingInputs { option_type: Put, exercise_style: American, spot: 100.0, strike: 105.0, time_to_expiry: 0.5, rate: 0.03, dividend_yield: 0.01, volatility: 0.25 }; f64_bits=[4059000000000000,405a400000000000,3fe0000000000000,3f9eb851eb851eb8,3f847ae147ae147b,3fd0000000000000]", "units_per_call": 1, "control": false, "result_debug": "Ok(Greeks { price: 9.408847753107736, delta: -0.5613566347702277, gamma: 0.023297610772773925, theta: -0.015998209707057343, vega: 27.568057289001636, rho: -24.78553076444402, vanna: 0.5556457386359057, volga: 6.747767511861635, charm: -0.00043095766461376445, veta: -0.07923581431044605, color: 5.7248165374871185e-5 })" }, { "id": "controls/european_iv_baseline", "inputs": "PricingInputs { option_type: Call, exercise_style: European, spot: 120.0, strike: 100.0, time_to_expiry: 0.75, rate: 0.03, dividend_yield: 0.01, volatility: 0.32 }; f64_bits=[405e000000000000,4059000000000000,3fe8000000000000,3f9eb851eb851eb8,3f847ae147ae147b,3fd47ae147ae147b]; quote_bits=40397df98ba57cc1", "units_per_call": 1, "control": true, "result_debug": "Ok(IvResult { iv: 0.31999999999999934, iterations: 2, used_fallback: false, price_residual: 2.7755575615628914e-17, price_residual_unit: ForwardNormalisedPrice })" } ], "after": [ { "id": "controls/bsm_price", "inputs": "PricingInputs { option_type: Call, exercise_style: European, spot: 120.0, strike: 100.0, time_to_expiry: 0.75, rate: 0.03, dividend_yield: 0.01, volatility: 0.32 }; f64_bits=[405e000000000000,4059000000000000,3fe8000000000000,3f9eb851eb851eb8,3f847ae147ae147b,3fd47ae147ae147b]", "units_per_call": 1, "control": true, "result_debug": "Ok(25.492089012052705)" }, { "id": "controls/black76_price", "inputs": "PricingInputs { option_type: Call, exercise_style: European, spot: 4900.0, strike: 5000.0, time_to_expiry: 0.5, rate: 0.045, dividend_yield: 0.0, volatility: 0.27 }; f64_bits=[40b3240000000000,40b3880000000000,3fe0000000000000,3fa70a3d70a3d70a,0000000000000000,3fd147ae147ae148]", "units_per_call": 1, "control": true, "result_debug": "Ok(321.23730472498045)" }, { "id": "controls/bsm_all", "inputs": "PricingInputs { option_type: Call, exercise_style: European, spot: 120.0, strike: 100.0, time_to_expiry: 0.75, rate: 0.03, dividend_yield: 0.01, volatility: 0.32 }; f64_bits=[405e000000000000,4059000000000000,3fe8000000000000,3f9eb851eb851eb8,3f847ae147ae147b,3fd47ae147ae147b]", "units_per_call": 1, "control": true, "result_debug": "Ok(Greeks { price: 25.492089012052705, delta: 0.7965043257398099, gamma: 0.008292498274462608, theta: -0.019892440655369183, vega: 28.65887403654276, rho: 52.56632255754338, vanna: -0.49419627580829256, volga: 43.68476831073948, charm: 0.0002561413321583294, veta: -0.07227259172863033, color: 9.380022884777405e-6 })" }, { "id": "controls/black76_all", "inputs": "PricingInputs { option_type: Call, exercise_style: European, spot: 4900.0, strike: 5000.0, time_to_expiry: 0.5, rate: 0.045, dividend_yield: 0.0, volatility: 0.27 }; f64_bits=[40b3240000000000,40b3880000000000,3fe0000000000000,3fa70a3d70a3d70a,0000000000000000,3fd147ae147ae148]", "units_per_call": 1, "control": true, "result_debug": "Ok(Greeks { price: 321.23730472498045, delta: 0.48483503657605687, gamma: 0.000416936860896083, theta: -0.9600894813289477, vega: 1351.438294065519, rho: -160.61865236249022, vanna: 0.2907683167998518, volga: 10.436176579280037, charm: -0.00015531470928777384, veta: -3.543674900024592, color: 1.1913142478660794e-6 })" }, { "id": "ordinary/call_price", "inputs": "PricingInputs { option_type: Call, exercise_style: American, spot: 100.0, strike: 100.0, time_to_expiry: 1.0, rate: 0.05, dividend_yield: 0.03, volatility: 0.3 }; f64_bits=[4059000000000000,4059000000000000,3ff0000000000000,3fa999999999999a,3f9eb851eb851eb8,3fd3333333333333]", "units_per_call": 1, "control": false, "result_debug": "Ok(12.447033691971022)" }, { "id": "ordinary/call_all_resolved", "inputs": "PricingInputs { option_type: Call, exercise_style: American, spot: 100.0, strike: 100.0, time_to_expiry: 1.0, rate: 0.05, dividend_yield: 0.03, volatility: 0.3 }; f64_bits=[4059000000000000,4059000000000000,3ff0000000000000,3fa999999999999a,3f9eb851eb851eb8,3fd3333333333333]", "units_per_call": 1, "control": false, "result_debug": "Ok(Greeks { price: 12.447033691971022, delta: 0.5689092794178872, gamma: 0.012644620691797361, theta: -0.01700049989309349, vega: 37.90258242678792, rho: 43.6725848547475, vanna: 0.11185161692204085, volga: -1.2525637645885546, charm: -6.972293496969778e-5, veta: -0.047061234357295464, color: 1.884163035037705e-5 })" }, { "id": "ordinary/put_price", "inputs": "PricingInputs { option_type: Put, exercise_style: American, spot: 100.0, strike: 105.0, time_to_expiry: 0.5, rate: 0.03, dividend_yield: 0.01, volatility: 0.25 }; f64_bits=[4059000000000000,405a400000000000,3fe0000000000000,3f9eb851eb851eb8,3f847ae147ae147b,3fd0000000000000]", "units_per_call": 1, "control": false, "result_debug": "Ok(9.408847753107736)" }, { "id": "ordinary/put_all_resolved", "inputs": "PricingInputs { option_type: Put, exercise_style: American, spot: 100.0, strike: 105.0, time_to_expiry: 0.5, rate: 0.03, dividend_yield: 0.01, volatility: 0.25 }; f64_bits=[4059000000000000,405a400000000000,3fe0000000000000,3f9eb851eb851eb8,3f847ae147ae147b,3fd0000000000000]", "units_per_call": 1, "control": false, "result_debug": "Ok(Greeks { price: 9.408847753107736, delta: -0.5613566347702277, gamma: 0.023297610772773925, theta: -0.015998209707057343, vega: 27.568057289001636, rho: -24.78553076444402, vanna: 0.5556457386359057, volga: 6.747767511861635, charm: -0.00043095766461376445, veta: -0.07923581431044605, color: 5.7248165374871185e-5 })" }, { "id": "controls/european_iv_baseline", "inputs": "PricingInputs { option_type: Call, exercise_style: European, spot: 120.0, strike: 100.0, time_to_expiry: 0.75, rate: 0.03, dividend_yield: 0.01, volatility: 0.32 }; f64_bits=[405e000000000000,4059000000000000,3fe8000000000000,3f9eb851eb851eb8,3f847ae147ae147b,3fd47ae147ae147b]; quote_bits=40397df98ba57cc1", "units_per_call": 1, "control": true, "result_debug": "Ok(IvResult { iv: 0.31999999999999934, iterations: 2, used_fallback: false, price_residual: 2.7755575615628914e-17, price_residual_unit: ForwardNormalisedPrice })" } ] }, "A2": { "before": [ { "id": "controls/bsm_price", "inputs": "PricingInputs { option_type: Call, exercise_style: European, spot: 120.0, strike: 100.0, time_to_expiry: 0.75, rate: 0.03, dividend_yield: 0.01, volatility: 0.32 }; f64_bits=[405e000000000000,4059000000000000,3fe8000000000000,3f9eb851eb851eb8,3f847ae147ae147b,3fd47ae147ae147b]", "units_per_call": 1, "control": true, "result_debug": "Ok(25.492089012052705)" }, { "id": "controls/black76_price", "inputs": "PricingInputs { option_type: Call, exercise_style: European, spot: 4900.0, strike: 5000.0, time_to_expiry: 0.5, rate: 0.045, dividend_yield: 0.0, volatility: 0.27 }; f64_bits=[40b3240000000000,40b3880000000000,3fe0000000000000,3fa70a3d70a3d70a,0000000000000000,3fd147ae147ae148]", "units_per_call": 1, "control": true, "result_debug": "Ok(321.23730472498045)" }, { "id": "controls/bsm_all", "inputs": "PricingInputs { option_type: Call, exercise_style: European, spot: 120.0, strike: 100.0, time_to_expiry: 0.75, rate: 0.03, dividend_yield: 0.01, volatility: 0.32 }; f64_bits=[405e000000000000,4059000000000000,3fe8000000000000,3f9eb851eb851eb8,3f847ae147ae147b,3fd47ae147ae147b]", "units_per_call": 1, "control": true, "result_debug": "Ok(Greeks { price: 25.492089012052705, delta: 0.7965043257398099, gamma: 0.008292498274462608, theta: -0.019892440655369183, vega: 28.65887403654276, rho: 52.56632255754338, vanna: -0.49419627580829256, volga: 43.68476831073948, charm: 0.0002561413321583294, veta: -0.07227259172863033, color: 9.380022884777405e-6 })" }, { "id": "controls/black76_all", "inputs": "PricingInputs { option_type: Call, exercise_style: European, spot: 4900.0, strike: 5000.0, time_to_expiry: 0.5, rate: 0.045, dividend_yield: 0.0, volatility: 0.27 }; f64_bits=[40b3240000000000,40b3880000000000,3fe0000000000000,3fa70a3d70a3d70a,0000000000000000,3fd147ae147ae148]", "units_per_call": 1, "control": true, "result_debug": "Ok(Greeks { price: 321.23730472498045, delta: 0.48483503657605687, gamma: 0.000416936860896083, theta: -0.9600894813289477, vega: 1351.438294065519, rho: -160.61865236249022, vanna: 0.2907683167998518, volga: 10.436176579280037, charm: -0.00015531470928777384, veta: -3.543674900024592, color: 1.1913142478660794e-6 })" }, { "id": "ordinary/call_price", "inputs": "PricingInputs { option_type: Call, exercise_style: American, spot: 100.0, strike: 100.0, time_to_expiry: 1.0, rate: 0.05, dividend_yield: 0.03, volatility: 0.3 }; f64_bits=[4059000000000000,4059000000000000,3ff0000000000000,3fa999999999999a,3f9eb851eb851eb8,3fd3333333333333]", "units_per_call": 1, "control": false, "result_debug": "Ok(12.447033691971022)" }, { "id": "ordinary/call_all_resolved", "inputs": "PricingInputs { option_type: Call, exercise_style: American, spot: 100.0, strike: 100.0, time_to_expiry: 1.0, rate: 0.05, dividend_yield: 0.03, volatility: 0.3 }; f64_bits=[4059000000000000,4059000000000000,3ff0000000000000,3fa999999999999a,3f9eb851eb851eb8,3fd3333333333333]", "units_per_call": 1, "control": false, "result_debug": "Ok(Greeks { price: 12.447033691971022, delta: 0.5689092794178872, gamma: 0.012644620691797361, theta: -0.01700049989309349, vega: 37.90258242678792, rho: 43.6725848547475, vanna: 0.11185161692204085, volga: -1.2525637645885546, charm: -6.972293496969778e-5, veta: -0.047061234357295464, color: 1.884163035037705e-5 })" }, { "id": "ordinary/put_price", "inputs": "PricingInputs { option_type: Put, exercise_style: American, spot: 100.0, strike: 105.0, time_to_expiry: 0.5, rate: 0.03, dividend_yield: 0.01, volatility: 0.25 }; f64_bits=[4059000000000000,405a400000000000,3fe0000000000000,3f9eb851eb851eb8,3f847ae147ae147b,3fd0000000000000]", "units_per_call": 1, "control": false, "result_debug": "Ok(9.408847753107736)" }, { "id": "ordinary/put_all_resolved", "inputs": "PricingInputs { option_type: Put, exercise_style: American, spot: 100.0, strike: 105.0, time_to_expiry: 0.5, rate: 0.03, dividend_yield: 0.01, volatility: 0.25 }; f64_bits=[4059000000000000,405a400000000000,3fe0000000000000,3f9eb851eb851eb8,3f847ae147ae147b,3fd0000000000000]", "units_per_call": 1, "control": false, "result_debug": "Ok(Greeks { price: 9.408847753107736, delta: -0.5613566347702277, gamma: 0.023297610772773925, theta: -0.015998209707057343, vega: 27.568057289001636, rho: -24.78553076444402, vanna: 0.5556457386359057, volga: 6.747767511861635, charm: -0.00043095766461376445, veta: -0.07923581431044605, color: 5.7248165374871185e-5 })" }, { "id": "controls/european_iv_baseline", "inputs": "PricingInputs { option_type: Call, exercise_style: European, spot: 120.0, strike: 100.0, time_to_expiry: 0.75, rate: 0.03, dividend_yield: 0.01, volatility: 0.32 }; f64_bits=[405e000000000000,4059000000000000,3fe8000000000000,3f9eb851eb851eb8,3f847ae147ae147b,3fd47ae147ae147b]; quote_bits=40397df98ba57cc1", "units_per_call": 1, "control": true, "result_debug": "Ok(IvResult { iv: 0.31999999999999934, iterations: 2, used_fallback: false, price_residual: 2.7755575615628914e-17, price_residual_unit: ForwardNormalisedPrice })" } ], "after": [ { "id": "controls/bsm_price", "inputs": "PricingInputs { option_type: Call, exercise_style: European, spot: 120.0, strike: 100.0, time_to_expiry: 0.75, rate: 0.03, dividend_yield: 0.01, volatility: 0.32 }; f64_bits=[405e000000000000,4059000000000000,3fe8000000000000,3f9eb851eb851eb8,3f847ae147ae147b,3fd47ae147ae147b]", "units_per_call": 1, "control": true, "result_debug": "Ok(25.492089012052705)" }, { "id": "controls/black76_price", "inputs": "PricingInputs { option_type: Call, exercise_style: European, spot: 4900.0, strike: 5000.0, time_to_expiry: 0.5, rate: 0.045, dividend_yield: 0.0, volatility: 0.27 }; f64_bits=[40b3240000000000,40b3880000000000,3fe0000000000000,3fa70a3d70a3d70a,0000000000000000,3fd147ae147ae148]", "units_per_call": 1, "control": true, "result_debug": "Ok(321.23730472498045)" }, { "id": "controls/bsm_all", "inputs": "PricingInputs { option_type: Call, exercise_style: European, spot: 120.0, strike: 100.0, time_to_expiry: 0.75, rate: 0.03, dividend_yield: 0.01, volatility: 0.32 }; f64_bits=[405e000000000000,4059000000000000,3fe8000000000000,3f9eb851eb851eb8,3f847ae147ae147b,3fd47ae147ae147b]", "units_per_call": 1, "control": true, "result_debug": "Ok(Greeks { price: 25.492089012052705, delta: 0.7965043257398099, gamma: 0.008292498274462608, theta: -0.019892440655369183, vega: 28.65887403654276, rho: 52.56632255754338, vanna: -0.49419627580829256, volga: 43.68476831073948, charm: 0.0002561413321583294, veta: -0.07227259172863033, color: 9.380022884777405e-6 })" }, { "id": "controls/black76_all", "inputs": "PricingInputs { option_type: Call, exercise_style: European, spot: 4900.0, strike: 5000.0, time_to_expiry: 0.5, rate: 0.045, dividend_yield: 0.0, volatility: 0.27 }; f64_bits=[40b3240000000000,40b3880000000000,3fe0000000000000,3fa70a3d70a3d70a,0000000000000000,3fd147ae147ae148]", "units_per_call": 1, "control": true, "result_debug": "Ok(Greeks { price: 321.23730472498045, delta: 0.48483503657605687, gamma: 0.000416936860896083, theta: -0.9600894813289477, vega: 1351.438294065519, rho: -160.61865236249022, vanna: 0.2907683167998518, volga: 10.436176579280037, charm: -0.00015531470928777384, veta: -3.543674900024592, color: 1.1913142478660794e-6 })" }, { "id": "ordinary/call_price", "inputs": "PricingInputs { option_type: Call, exercise_style: American, spot: 100.0, strike: 100.0, time_to_expiry: 1.0, rate: 0.05, dividend_yield: 0.03, volatility: 0.3 }; f64_bits=[4059000000000000,4059000000000000,3ff0000000000000,3fa999999999999a,3f9eb851eb851eb8,3fd3333333333333]", "units_per_call": 1, "control": false, "result_debug": "Ok(12.447033691971022)" }, { "id": "ordinary/call_all_resolved", "inputs": "PricingInputs { option_type: Call, exercise_style: American, spot: 100.0, strike: 100.0, time_to_expiry: 1.0, rate: 0.05, dividend_yield: 0.03, volatility: 0.3 }; f64_bits=[4059000000000000,4059000000000000,3ff0000000000000,3fa999999999999a,3f9eb851eb851eb8,3fd3333333333333]", "units_per_call": 1, "control": false, "result_debug": "Ok(Greeks { price: 12.447033691971022, delta: 0.5689092794178872, gamma: 0.012644620691797361, theta: -0.01700049989309349, vega: 37.90258242678792, rho: 43.6725848547475, vanna: 0.11185161692204085, volga: -1.2525637645885546, charm: -6.972293496969778e-5, veta: -0.047061234357295464, color: 1.884163035037705e-5 })" }, { "id": "ordinary/put_price", "inputs": "PricingInputs { option_type: Put, exercise_style: American, spot: 100.0, strike: 105.0, time_to_expiry: 0.5, rate: 0.03, dividend_yield: 0.01, volatility: 0.25 }; f64_bits=[4059000000000000,405a400000000000,3fe0000000000000,3f9eb851eb851eb8,3f847ae147ae147b,3fd0000000000000]", "units_per_call": 1, "control": false, "result_debug": "Ok(9.408847753107736)" }, { "id": "ordinary/put_all_resolved", "inputs": "PricingInputs { option_type: Put, exercise_style: American, spot: 100.0, strike: 105.0, time_to_expiry: 0.5, rate: 0.03, dividend_yield: 0.01, volatility: 0.25 }; f64_bits=[4059000000000000,405a400000000000,3fe0000000000000,3f9eb851eb851eb8,3f847ae147ae147b,3fd0000000000000]", "units_per_call": 1, "control": false, "result_debug": "Ok(Greeks { price: 9.408847753107736, delta: -0.5613566347702277, gamma: 0.023297610772773925, theta: -0.015998209707057343, vega: 27.568057289001636, rho: -24.78553076444402, vanna: 0.5556457386359057, volga: 6.747767511861635, charm: -0.00043095766461376445, veta: -0.07923581431044605, color: 5.7248165374871185e-5 })" }, { "id": "controls/european_iv_baseline", "inputs": "PricingInputs { option_type: Call, exercise_style: European, spot: 120.0, strike: 100.0, time_to_expiry: 0.75, rate: 0.03, dividend_yield: 0.01, volatility: 0.32 }; f64_bits=[405e000000000000,4059000000000000,3fe8000000000000,3f9eb851eb851eb8,3f847ae147ae147b,3fd47ae147ae147b]; quote_bits=40397df98ba57cc1", "units_per_call": 1, "control": true, "result_debug": "Ok(IvResult { iv: 0.31999999999999934, iterations: 2, used_fallback: false, price_residual: 2.7755575615628914e-17, price_residual_unit: ForwardNormalisedPrice })" } ] } } }