@bmancini55/finance
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Finance utilities for JavaScript
20 lines • 797 B
JavaScript
;
Object.defineProperty(exports, "__esModule", { value: true });
exports.createDistribution = void 0;
const stats_lognormal_1 = require("./stats-lognormal");
/**
* Creates a lognormal distribution for the asset based
* on its spot price, target days, and annualized volatility
*
* @param spot current spot price
* @param days days until expiration
* @param vol annualized volatility of asset
* @returns a new Lognormal distribution with the given parameters
*/
function createDistribution(spot, days, vol) {
const lognorm_mean = Math.log(spot);
const lognorm_sd = vol * Math.sqrt(days / 365);
return new stats_lognormal_1.Lognormal(lognorm_mean, lognorm_sd);
}
exports.createDistribution = createDistribution;
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