utils OptionUtils.js

80% Statements 4/5

85.71% Branches 6/7

100% Functions 1/1

80% Lines 4/5

Press n or j to go to the next uncovered block, b, p or k for the previous block.


1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17  
80154x
 
80154x
 
80018x
 
 
 
136x
 
 
 
 
 
 
  function calculateExerciseValue(option, spotPrice, time) {
  const isCall = option.type === "call" ? 1 : -1;
 
  switch (option.style) {
    case "european":
      return time < option.timeToMaturity
        ? 0
        : Math.max(0, isCall * (spotPrice - option.strikePrice));
    case "american":
      return Math.max(0, isCall * (spotPrice - option.strikePrice));
    default:
      throw new Error(`invalid option style: ${option.style}`);
  }
}
 
export { calculateExerciseValue };