Struct PyHullWhiteFit 

pub struct PyHullWhiteFit {
    pub(crate) inner: CalibratedSigma,
}

A fitted Hull–White volatility and what the fit knows about it.

Fields

inner: CalibratedSigma

Implementations

impl PyHullWhiteFit

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

pub(crate) fn sigma(&self, py: Python<'_>) -> PyObject

The fitted volatility: a float for a flat fit, a Records of end and sigma — one row per piece — for a piecewise one.

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

The shape the fit ran in, flat or piecewise.

pub(crate) fn mean_reversion(&self) -> f64

The mean reversion the fit held fixed.

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

The currency whose curve and quotes were fitted.

pub(crate) fn evaluations(&self) -> usize

How many objective evaluations the Gauss–Newton search took.

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

The strip points read at the money off the currency’s swaption surface, because no flat vol was pinned for them, as (expiry, end) pairs. They carry no quote sensitivity: there is no quote to move.

pub(crate) fn fits(&self) -> PyRecords

One row per strip point: (expiry, end, market, model, vol_misfit).

pub(crate) fn quote_sensitivities(&self) -> PyRecords

How the fitted σ moves with each quote, from the optimality condition rather than a re-calibration: one row per quote, expiry, end, d_sigma_d_vol for a flat fit; one row per (piece, quote) pair, with the piece’s end date first as piece, for a piecewise one. A point read off the swaption surface (surface_points) has no quote and no row.

Trait Implementations

impl Clone for PyHullWhiteFit

fn clone(&self) -> PyHullWhiteFit

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl DerefToPyAny for PyHullWhiteFit

impl IntoPy<Py<PyAny>> for PyHullWhiteFit

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

Performs the conversion.

impl PyClass for PyHullWhiteFit

type Frozen = True

Whether the pyclass is frozen.

impl PyClassImpl for PyHullWhiteFit

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<PyHullWhiteFit>

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<'a, 'py> PyFunctionArgument<'a, 'py> for &'a PyHullWhiteFit

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

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

impl PyMethods<PyHullWhiteFit> for PyClassImplCollector<PyHullWhiteFit>

fn py_methods(self) -> &'static PyClassItems

impl PyTypeInfo for PyHullWhiteFit

const NAME: &'static str = "HullWhiteFit"

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.