Struct PyHullWhite 

pub(crate) struct PyHullWhite {
    inner: HullWhite,
}

A validated one-factor Hull-White model: mean reversion a and a volatility — flat, or a piecewise-constant term — the value a calibration writes and a caller pins.

Fields

inner: HullWhite

Implementations

impl PyHullWhite

fn new(mean_reversion: f64, sigma: PySigmaInput) -> PyResult<Self>

A model with mean reversion a (strictly positive) and volatility sigma: a non-negative float, or (t_end, σ) pieces with strictly increasing positive ends in years.

fn mean_reversion(&self) -> f64

Mean-reversion speed a.

fn sigma(&self, py: Python<'_>) -> PyObject

Short-rate volatility: the float for a flat model, the (t_end, σ) pieces otherwise.

fn b(&self, t: f64, maturity: f64) -> f64

B(t, T) = (1 − e^{−a(T−t)}) / a, the model’s duration factor, in years.

fn bond_option_vol(&self, expiry: f64, bond_maturity: f64) -> f64

The volatility of the bond_maturity discount bond seen from expiry, both in years; zero when the option has no life or the bond matures at expiry.

fn variance(&self, s: f64, t: f64) -> f64

V(s, t): the variance of the model’s Gaussian factor at t given its state at s, both in years.

fn drift_convexity(&self, t: f64) -> f64

C(t): the drift convexity Cov(∫₀ᵗ x, x_t), the displacement over the forward at t years.

fn integrated_variance(&self, s: f64, t: f64) -> f64

I(s, t): the variance of ∫ₛᵗ x given the state at s.

fn convexity_exponent(&self, t: f64, maturity: f64) -> f64

Λ: the futures convexity exponent of a term rate fixing at t and running to maturity (years), E[1/P(t, T)] = P(0, t)/P(0, T)·e^Λ.

fn compounded_convexity_exponent(&self, start: f64, end: f64) -> f64

The compounded futures convexity exponent from start to end (years): what with_hull_white_convexity applies to a futures rate compounded in arrears.

fn __repr__(&self) -> String

Trait Implementations

impl Clone for PyHullWhite

fn clone(&self) -> PyHullWhite

Returns a duplicate of the value.

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source.

impl DerefToPyAny for PyHullWhite

impl IntoPy<Py<PyAny>> for PyHullWhite

fn into_py(self, py: Python<'_>) -> PyObject

Performs the conversion.

impl PyClass for PyHullWhite

type Frozen = True

Whether the pyclass is frozen.

impl PyClassImpl for PyHullWhite

const IS_BASETYPE: bool = false

#[pyclass(subclass)]

const IS_SUBCLASS: bool = false

#[pyclass(extends=…)]

const IS_MAPPING: bool = false

#[pyclass(mapping)]

const IS_SEQUENCE: bool = false

#[pyclass(sequence)]

type BaseType = PyAny

Base class

type ThreadChecker = SendablePyClass<PyHullWhite>

This handles following two situations:

type PyClassMutability = <<PyAny as PyClassBaseType>::PyClassMutability as PyClassMutability>::ImmutableChild

Immutable or mutable

type Dict = PyClassDummySlot

Specify this class has #[pyclass(dict)] or not.

type WeakRef = PyClassDummySlot

Specify this class has #[pyclass(weakref)] or not.

type BaseNativeType = PyAny

The closest native ancestor. This is PyAny by default, and when you declare #[pyclass(extends=PyDict)], it’s PyDict.

fn items_iter() -> PyClassItemsIter

fn doc(py: Python<'_>) -> PyResult<&'static CStr>

Rendered class doc

fn lazy_type_object() -> &'static LazyTypeObject<Self>

fn dict_offset() -> Option<isize>

fn weaklist_offset() -> Option<isize>

impl PyClassNewTextSignature<PyHullWhite> for PyClassImplCollector<PyHullWhite>

fn new_text_signature(self) -> Option<&'static str>

impl<'a, 'py> PyFunctionArgument<'a, 'py> for &'a PyHullWhite

type Holder = Option<PyRef<'py, PyHullWhite>>

fn extract( obj: &'a Bound<'py, PyAny>, holder: &'a mut Self::Holder, ) -> PyResult<Self>

impl PyMethods<PyHullWhite> for PyClassImplCollector<PyHullWhite>

fn py_methods(self) -> &'static PyClassItems

impl PyTypeInfo for PyHullWhite

const NAME: &'static str = "HullWhite"

Class name.

const MODULE: Option<&'static str>

Module name, if any.

fn type_object_raw(py: Python<'_>) -> *mut PyTypeObject

Returns the PyTypeObject instance for this type.

fn type_object_bound(py: Python<'_>) -> Bound<'_, PyType>

Returns the safe abstraction over the type object.

fn is_type_of_bound(object: &Bound<'_, PyAny>) -> bool

Checks if object is an instance of this type or a subclass of this type.

fn is_exact_type_of_bound(object: &Bound<'_, PyAny>) -> bool

Checks if object is an instance of this type.