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intrinsic_value

Function intrinsic_value 

Source
pub fn intrinsic_value(
    option_type: OptionType,
    strike: Decimal,
    reference_price: Decimal,
) -> Decimal
Expand description

Compute the intrinsic value of an option at expiry.

Returns max(spot - strike, 0) for calls, max(strike - spot, 0) for puts. The result is always non-negative.