Struct PySabrVolSurface 

pub struct PySabrVolSurface {
    pub(crate) inner: SabrVolSurface,
}

A SABR rate smile over expiry × tenor: σ_ATM, ρ and ν at each node, β and the shift stated once, α implied at each read from the ATM vol at the read’s own forward. Pinned with with_swaption_vols or with_cap_vols beside a grid.

Fields

inner: SabrVolSurface

Implementations

impl PySabrVolSurface

fn __repr__(&self) -> String

pub(crate) fn new( expiries: Vec<f64>, tenors: Vec<f64>, formula: Named<SabrFormula>, beta: f64, shift: f64, atm_vols: Vec<Vec<f64>>, rhos: Vec<Vec<f64>>, nus: Vec<Vec<f64>>, ) -> PyResult<Self>

A surface from ascending expiries and tenors, both in years, the formula, CEV exponent beta and displacement shift, and one row per expiry of ATM vols, ρs and νs, in tenor order.

fn expiries(&self) -> Vec<f64>

The expiry pillars, in years.

fn tenors(&self) -> Vec<f64>

The tenor pillars, in years.

fn formula(&self) -> String

The formula’s spelling.

fn beta(&self) -> f64

The CEV exponent.

fn shift(&self) -> f64

The displacement.

fn vol_convention(&self) -> String

The convention the formula’s vols are quoted in: normal or lognormal.

fn node_parameters( &self, expiry_years: f64, tenor_years: f64, ) -> (f64, f64, f64)

The node parameters (atm_vol, rho, nu) at (expiry_years, tenor_years): bilinear between nodes, flat beyond the edges.

fn vol( &self, expiry_years: f64, tenor_years: f64, forward: f64, strike: f64, ) -> PyResult<f64>

The smile’s vol at (expiry_years, tenor_years) for strike at forward, in the formula’s convention.

fn is_fitted(&self) -> bool

Whether the surface was fitted, carrying the quote Jacobian a par vega reads; one stated by its parameters was not.

Trait Implementations

impl Clone for PySabrVolSurface

fn clone(&self) -> PySabrVolSurface

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl DerefToPyAny for PySabrVolSurface

impl From<&PySabrVolSurface> for RateSmileArg

fn from(surface: &PySabrVolSurface) -> Self

Converts to this type from the input type.

impl IntoPy<Py<PyAny>> for PySabrVolSurface

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

Performs the conversion.

impl PyClass for PySabrVolSurface

type Frozen = True

Whether the pyclass is frozen.

impl PyClassImpl for PySabrVolSurface

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<PySabrVolSurface>

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<PySabrVolSurface> for PyClassImplCollector<PySabrVolSurface>

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

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

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

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

impl PyMethods<PySabrVolSurface> for PyClassImplCollector<PySabrVolSurface>

fn py_methods(self) -> &'static PyClassItems

impl PyTypeInfo for PySabrVolSurface

const NAME: &'static str = "SabrVolSurface"

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.