Struct PyFxVolSurface 

pub struct PyFxVolSurface {
    pub(crate) inner: FxVolSurface,
}

An FX volatility surface: one smile per expiry.

Fields

inner: FxVolSurface

Implementations

impl PyFxVolSurface

fn __repr__(&self) -> String

pub(crate) fn new( base: &str, quote: &str, reference: NaiveDate, smiles: Vec<PySmileInput>, delta_convention: Named<DeltaConvention>, day_count: Named<DayCountFraction>, ) -> PyResult<Self>

Builds a surface from one smile per expiry — (expiry, atm, risk_reversal, butterfly) quotes, or (expiry, FxVolSmile) — under "spot", "forward", "spot_premium" or "forward_premium" deltas.

day_count is the measure the quoted vols are per unit of, used to turn an expiry date into the total variance σ²τ. ACT/365 fixed unless the market quotes otherwise.

pub(crate) fn day_count(&self) -> &'static str

The day count the surface’s total variance is measured in.

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

The expiries the surface has smiles at.

pub(crate) fn smile(&self, expiry: NaiveDate) -> Option<PyFxVolSmile>

The smile stored at exactly expiry, or None — what was stored, not an interpolation.

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

The quotes every smile carries, in smile order: puts, ATM, calls.

pub(crate) fn vol_at_quote( &self, expiry: NaiveDate, quote: &str, ) -> PyResult<f64>

The vol the surface holds for quote at expiry: the node itself at a stored expiry, or its blend in total variance between the stored expiries either side, flat beyond the ends. A node read, before any strike is resolved.

pub(crate) fn vol_at_strike( &self, expiry: NaiveDate, strike: f64, forward: f64, df_base: f64, ) -> PyResult<f64>

The vol at strike for an option expiring at expiry, given the pair’s forward to delivery and the base currency’s discount factor df_base: each node placed at the strike its quote resolves to, then linear in log-moneyness between the adjacent node strikes and flat beyond the wings; across expiries linear in total variance.

pub(crate) fn strike_at_delta( &self, expiry: NaiveDate, delta: f64, forward: f64, df_base: f64, ) -> PyResult<f64>

The strike at which an option expiring at expiry has delta under the smile’s own vol at that strike — the strike-vol fixed point a delta-labelled trade resolves to — given the pair’s forward and the base currency’s discount factor df_base, in the surface’s delta convention. A positive delta is a call’s, a negative one a put’s.

Trait Implementations

impl Clone for PyFxVolSurface

fn clone(&self) -> PyFxVolSurface

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl DerefToPyAny for PyFxVolSurface

impl IntoPy<Py<PyAny>> for PyFxVolSurface

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

Performs the conversion.

impl PyClass for PyFxVolSurface

type Frozen = True

Whether the pyclass is frozen.

impl PyClassImpl for PyFxVolSurface

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<PyFxVolSurface>

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<PyFxVolSurface> for PyClassImplCollector<PyFxVolSurface>

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

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

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

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

impl PyMethods<PyFxVolSurface> for PyClassImplCollector<PyFxVolSurface>

fn py_methods(self) -> &'static PyClassItems

impl PyTypeInfo for PyFxVolSurface

const NAME: &'static str = "FxVolSurface"

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.