Enum StripScheme 

pub enum StripScheme {
    ConstantBetweenQuotes,
    PerCaplet,
}

How term cap quotes are turned into caplet vols.

Variants

ConstantBetweenQuotes

One caplet vol per interval between consecutive quoted maturities, each cap solved on its whole value at its own strike.

PerCaplet

The caplet-by-caplet strip: the term vol curve is linear in time through the quotes and extrapolated linearly at both ends, read at each caplet’s maturity as the vol of the cap ending there, and each caplet is solved with the earlier ones fixed. Needs a common strike, as a strike column of a term vol surface has.

Implementations

impl StripScheme

pub const ACCEPTED: &'static [&'static str]

Every spelling this vocabulary accepts, canonical forms first.

Matching additionally ignores case and _/-/whitespace — see normalize in core::vocabulary.

pub fn code(self) -> &'static str

The canonical code for this variant; round-trips through FromStr.

Trait Implementations

impl Clone for StripScheme

fn clone(&self) -> StripScheme

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Copy for StripScheme

impl Debug for StripScheme

fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter.

impl Default for StripScheme

fn default() -> StripScheme

Returns the “default value” for a type.

impl Eq for StripScheme

impl FromStr for StripScheme

type Err = VocabularyParseError

The associated error which can be returned from parsing.

fn from_str(s: &str) -> Result<Self, Self::Err>

Parses a string s to return a value of this type.

impl PartialEq for StripScheme

fn eq(&self, other: &StripScheme) -> bool

Tests for self and other values to be equal, and is used by ==.

fn ne(&self, other: &Rhs) -> bool

Tests for !=. The default implementation is almost always sufficient, and should not be overridden without very good reason.

impl StructuralPartialEq for StripScheme