Struct PyFutureOptionVolSurface 

pub struct PyFutureOptionVolSurface {
    pub(crate) inner: FutureOptionVolSurface,
}

A listed bond future’s option vol surface over listed expiry dates × strikes per 100 face — what every option exercising into that contract reads, pinned per contract with MarketContext.with_future_option_vols. Lognormal is a Black-76 price vol; normal a Bachelier price vol in points per year. Sticky-strike: linear in vol between strikes, linear in total variance between expiries, flat beyond every edge; time is day_count (ACT/365F unless stated) from reference.

Fields

inner: FutureOptionVolSurface

Implementations

impl PyFutureOptionVolSurface

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

A surface marked on reference over ascending listed expiries × ascending strikes (per 100), one row of vols per expiry.

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

One vol at every expiry and strike, marked on reference.

pub(crate) fn reference(&self) -> NaiveDate

The date the surface was marked on.

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

The listed expiries; empty on a flat surface.

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

The strikes, per 100; empty on a flat surface.

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

The day count the vols are quoted per year of.

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

Whether the vols are normal or lognormal.

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

The vol at expiry and strike.

fn __repr__(&self) -> String

Trait Implementations

impl Clone for PyFutureOptionVolSurface

fn clone(&self) -> PyFutureOptionVolSurface

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl DerefToPyAny for PyFutureOptionVolSurface

impl IntoPy<Py<PyAny>> for PyFutureOptionVolSurface

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

Performs the conversion.

impl PyClass for PyFutureOptionVolSurface

type Frozen = True

Whether the pyclass is frozen.

impl PyClassImpl for PyFutureOptionVolSurface

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<PyFutureOptionVolSurface>

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<PyFutureOptionVolSurface> for PyClassImplCollector<PyFutureOptionVolSurface>

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

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

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

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

impl PyMethods<PyFutureOptionVolSurface> for PyClassImplCollector<PyFutureOptionVolSurface>

fn py_methods(self) -> &'static PyClassItems

impl PyTypeInfo for PyFutureOptionVolSurface

const NAME: &'static str = "FutureOptionVolSurface"

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.