Struct PyRateVolSurface 

pub struct PyRateVolSurface {
    pub(crate) inner: RateVolSurface,
}

A rate volatility surface on an expiry × tenor grid — the swaption vols a swaption reads, and the yield vols a bond option reads — optionally carrying a smile in absolute rate strikes, which a cap reads.

Fields

inner: RateVolSurface

Implementations

impl PyRateVolSurface

fn __repr__(&self) -> String

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

A surface from ascending expiries and tenors, both in years, and one row of vols per expiry in tenor order.

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

The day count the expiry axis is measured on — the years from valuation to each fixing or expiry, for the read and for the variance. ACT/365.FIXED unless the surface was built with another.

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

The expiries the grid is quoted on, in years.

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

A surface carrying a smile: the cap market’s quote grid of ascending expiries in years at one tenor_years across ascending strikes, with one row of vols per expiry and one entry per strike. The strikes are absolute rates unless strike_axis names spread_to_atm.

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

A surface over all three axes: ascending expiries and tenors, both in years, ascending strikes, and one vol per triple — vols[expiry][tenor][strike]. What a currency needs when two index tenors both carry a skew. The swaption market quotes its cube against the at-the-money forward, so name strike_axis as spread_to_atm there; a cap cube stays on the default absolute axis.

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

The tenors the grid is quoted on, in years.

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

What the strike pillars measure: absolute or spread_to_atm.

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

The strikes the smile is quoted on, where the surface carries one.

pub(crate) fn vol( &self, expiry_years: f64, tenor_years: f64, strike: Option<f64>, ) -> PyResult<f64>

The vol at (expiry_years, tenor_years), both year fractions — linear in vol across the tenor axis, linear in total variance across the expiry axis, flat beyond every edge — and at strike where the surface carries a smile, linear in vol between strikes and flat beyond. A surface quoted at the money answers every strike alike; a smiled one must be given a strike.

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

Whether the vols are normal or lognormal.

Spelled the same as the constructor’s keyword, so a value read out of one surface passes straight back into another without being renamed in the caller’s hands.

Trait Implementations

impl Clone for PyRateVolSurface

fn clone(&self) -> PyRateVolSurface

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl DerefToPyAny for PyRateVolSurface

impl From<&PyRateVolSurface> for RateSmileArg

fn from(grid: &PyRateVolSurface) -> Self

Converts to this type from the input type.

impl IntoPy<Py<PyAny>> for PyRateVolSurface

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

Performs the conversion.

impl PyClass for PyRateVolSurface

type Frozen = True

Whether the pyclass is frozen.

impl PyClassImpl for PyRateVolSurface

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<PyRateVolSurface>

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<PyRateVolSurface> for PyClassImplCollector<PyRateVolSurface>

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

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

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

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

impl PyMethods<PyRateVolSurface> for PyClassImplCollector<PyRateVolSurface>

fn py_methods(self) -> &'static PyClassItems

impl PyTypeInfo for PyRateVolSurface

const NAME: &'static str = "RateVolSurface"

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.