Struct PyCpiVolSurface 

pub struct PyCpiVolSurface {
    pub(crate) inner: CpiVolSurface,
}

A zero-coupon CPI option volatility surface over expiry × annualised zero-coupon strike — what a zero-coupon inflation cap, floor or collared CPI notional reads, pinned per price index. Lognormal is Black-76 on the forward index ratio I(T)/I(T0) at strike (1+k)^τ; normal is Bachelier on the same ratio, the vol in ratio units. Read at the time from the first of the month of (valuation − lag) to maturity − lag, ACT/365F.

Fields

inner: CpiVolSurface

Implementations

impl PyCpiVolSurface

pub(crate) fn new( expiries: Vec<f64>, strikes: Vec<f64>, vols: Vec<Vec<f64>>, vol_convention: Named<VolConvention>, ) -> PyResult<Self>

A surface over ascending expiries (years) × ascending annualised zero-coupon strikes, one row of vols per expiry and one entry per strike.

pub(crate) fn flat( vol: f64, vol_convention: Named<VolConvention>, ) -> PyResult<Self>

One vol at every expiry and strike.

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

The expiries the grid is quoted on, in years.

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

The annualised strikes the smile is quoted on; None on a flat surface.

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

Whether the vols are normal or lognormal.

pub(crate) fn vol(&self, expiry_years: f64, strike: f64) -> f64

The vol at expiry_years and the annualised strike: linear in vol between strikes, linear in total variance between expiries, flat beyond every edge.

fn __repr__(&self) -> String

Trait Implementations

impl Clone for PyCpiVolSurface

fn clone(&self) -> PyCpiVolSurface

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl DerefToPyAny for PyCpiVolSurface

impl IntoPy<Py<PyAny>> for PyCpiVolSurface

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

Performs the conversion.

impl PyClass for PyCpiVolSurface

type Frozen = True

Whether the pyclass is frozen.

impl PyClassImpl for PyCpiVolSurface

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<PyCpiVolSurface>

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<PyCpiVolSurface> for PyClassImplCollector<PyCpiVolSurface>

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

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

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

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

impl PyMethods<PyCpiVolSurface> for PyClassImplCollector<PyCpiVolSurface>

fn py_methods(self) -> &'static PyClassItems

impl PyTypeInfo for PyCpiVolSurface

const NAME: &'static str = "CpiVolSurface"

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.