Struct PyCmsSpreadCorrelationCurve 

pub struct PyCmsSpreadCorrelationCurve {
    pub(crate) inner: CmsSpreadCorrelationCurve,
}

The market’s correlation between two swap indices’ rates by option expiry in years — linear between pillars, flat beyond them — or one flat mark with no pillar.

Fields

inner: CmsSpreadCorrelationCurve

Implementations

impl PyCmsSpreadCorrelationCurve

pub(crate) fn __repr__(&self) -> String

pub(crate) fn new(pillars: Vec<(f64, f64)>) -> PyResult<Self>

Builds a term structure from (expiry_years, correlation) pillars in rising expiry order.

pub(crate) fn flat(correlation: f64) -> Self

One correlation at every expiry, with no pillar.

pub(crate) fn with_strikes(nodes: Vec<((f64, f64), f64)>) -> PyResult<Self>

A 2-D surface from ((expiry, strike), correlation) nodes.

pub(crate) fn is_flat(&self) -> bool

Whether this is the flat mark, with no pillar.

pub(crate) fn is_surface(&self) -> bool

Whether this is a 2-D surface.

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

The pillar expiries in years; empty for a flat mark.

pub(crate) fn parameters(&self) -> Vec<f64>

The correlations, one per pillar (or the one flat mark).

pub(crate) fn correlation( &self, expiry: f64, strike: Option<f64>, ) -> PyResult<f64>

The correlation at an option expiry in years and strike (if a surface).

Trait Implementations

impl Clone for PyCmsSpreadCorrelationCurve

fn clone(&self) -> PyCmsSpreadCorrelationCurve

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl DerefToPyAny for PyCmsSpreadCorrelationCurve

impl IntoPy<Py<PyAny>> for PyCmsSpreadCorrelationCurve

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

Performs the conversion.

impl PyClass for PyCmsSpreadCorrelationCurve

type Frozen = True

Whether the pyclass is frozen.

impl PyClassImpl for PyCmsSpreadCorrelationCurve

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<PyCmsSpreadCorrelationCurve>

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<PyCmsSpreadCorrelationCurve> for PyClassImplCollector<PyCmsSpreadCorrelationCurve>

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

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

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

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

impl PyMethods<PyCmsSpreadCorrelationCurve> for PyClassImplCollector<PyCmsSpreadCorrelationCurve>

fn py_methods(self) -> &'static PyClassItems

impl PyTypeInfo for PyCmsSpreadCorrelationCurve

const NAME: &'static str = "CmsSpreadCorrelationCurve"

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.