Struct PyFxVolSmile 

pub struct PyFxVolSmile {
    pub(crate) inner: FxVolSmile,
}

An FX volatility surface: one smile per expiry, quoted as market strangles under a delta convention. One expiry’s smile: (quote, vol) nodes, the quote spelled as the market spells it — "25P", "ATM", "25C" — held from the lowest strike’s quote to the highest’s. A value of its own, so a caller can build one from the market’s three quotes or from nodes, read its nodes back, and hand it to a surface.

Fields

inner: FxVolSmile

Implementations

impl PyFxVolSmile

fn new(nodes: Vec<(String, f64)>) -> PyResult<Self>

A smile from (quote, vol) nodes; a quote that is not ATM, a put such as 25P or a call such as 25C, a non-positive vol or the same quote twice is refused.

fn from_quotes(atm: f64, risk_reversal: f64, butterfly: f64) -> PyResult<Self>

The market’s three-quote smile: the ATM vol and the 25-delta wings from a risk reversal and a butterfly.

fn quotes(&self) -> Vec<String>

The node quotes, in smile order: puts, ATM, calls.

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

The node vols, in smile order.

fn __repr__(&self) -> String

Trait Implementations

impl Clone for PyFxVolSmile

fn clone(&self) -> PyFxVolSmile

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl DerefToPyAny for PyFxVolSmile

impl IntoPy<Py<PyAny>> for PyFxVolSmile

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

Performs the conversion.

impl PyClass for PyFxVolSmile

type Frozen = True

Whether the pyclass is frozen.

impl PyClassImpl for PyFxVolSmile

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<PyFxVolSmile>

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<PyFxVolSmile> for PyClassImplCollector<PyFxVolSmile>

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

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

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

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

impl PyMethods<PyFxVolSmile> for PyClassImplCollector<PyFxVolSmile>

fn py_methods(self) -> &'static PyClassItems

impl PyTypeInfo for PyFxVolSmile

const NAME: &'static str = "FxVolSmile"

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.