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SabrSliceFit

helixrs::calibration::sabr

Struct SabrSliceFit

pub struct SabrSliceFit {Show 13 fields
    pub expiry: f64,
    pub tenor: f64,
    pub forward: f64,
    pub atm_vol: f64,
    pub rho: f64,
    pub nu: f64,
    pub alpha: f64,
    pub atm_quoted: bool,
    pub rms_error: f64,
    pub max_error: f64,
    pub restarts: usize,
    pub accepted: bool,
    pub butterfly_ok: bool,
}

Expand description

One fitted slice’s parameters and quality.

Fields§

§expiry: f64

The node’s expiry, in years.

§tenor: f64

The node’s tenor, in years.

§forward: f64

The forward the slice was fitted at.

§atm_vol: f64

The fitted (or held) ATM vol.

§rho: f64

The fitted ρ.

§nu: f64

The fitted ν.

§alpha: f64

α implied from the ATM vol at the forward.

§atm_quoted: bool

Whether the grid quoted the ATM vol (held) or it was fitted.

§rms_error: f64

The vega-weighted RMS vol error.

§max_error: f64

The largest absolute vol error at a quoted strike.

§restarts: usize

Restarts spent beyond the explicit guess.

§accepted: bool

Whether the fit met the spec’s acceptance bound.

§butterfly_ok: bool

Whether the smile’s density is non-negative on the check grid.

Trait Implementations§

impl Clone for SabrSliceFit

fn clone(&self) -> SabrSliceFit

Returns a duplicate of the value. Read more

1.0.0 (const: unstable) · Source§

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

Performs copy-assignment from source. Read more

impl Debug for SabrSliceFit

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

Formats the value using the given formatter. Read more

impl PartialEq for SabrSliceFit

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

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

1.0.0 (const: unstable) · Source§

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 SabrSliceFit

Auto Trait Implementations§

impl Freeze for SabrSliceFit

impl RefUnwindSafe for SabrSliceFit

impl Send for SabrSliceFit

impl Sync for SabrSliceFit

impl Unpin for SabrSliceFit

impl UnsafeUnpin for SabrSliceFit

impl UnwindSafe for SabrSliceFit

Blanket Implementations§

impl<T> Any for T
where T: 'static + ?Sized,

fn type_id(&self) -> TypeId

Gets the TypeId of self. Read more

impl<T> Borrow<T> for T
where T: ?Sized,

fn borrow(&self) -> &T

Immutably borrows from an owned value. Read more

impl<T> BorrowMut<T> for T
where T: ?Sized,

fn borrow_mut(&mut self) -> &mut T

Mutably borrows from an owned value. Read more

impl<T> CloneToUninit for T
where T: Clone,

unsafe fn clone_to_uninit(&self, dest: *mut u8)

🔬This is a nightly-only experimental API. (clone_to_uninit)

Performs copy-assignment from self to dest. Read more

impl<T> From<T> for T

fn from(t: T) -> T

Returns the argument unchanged.

impl<T, U> Into<U> for T
where U: From<T>,

fn into(self) -> U

Calls U::from(self).

That is, this conversion is whatever the implementation of From<T> for U chooses to do.

impl<T> ToOwned for T
where T: Clone,

type Owned = T

The resulting type after obtaining ownership.

fn to_owned(&self) -> T

Creates owned data from borrowed data, usually by cloning. Read more

fn clone_into(&self, target: &mut T)

Uses borrowed data to replace owned data, usually by cloning. Read more

impl<T, U> TryFrom<U> for T
where U: Into<T>,

type Error = Infallible

The type returned in the event of a conversion error.

fn try_from(value: U) -> Result<T, <T as TryFrom<U>>::Error>

Performs the conversion.

impl<T, U> TryInto<U> for T
where U: TryFrom<T>,

type Error = <U as TryFrom<T>>::Error

The type returned in the event of a conversion error.

fn try_into(self) -> Result<U, <U as TryFrom<T>>::Error>

Performs the conversion.