Struct SabrSpec 

pub struct SabrSpec {
    pub formula: SabrFormula,
    pub beta: f64,
    pub shift: f64,
    pub accept: f64,
    pub max_restarts: usize,
}

How a grid smile is fitted to SABR.

Fields

formula: SabrFormula

The formula the fitted smile is read under.

beta: f64

The CEV exponent — configuration, stated by the caller.

shift: f64

The displacement — stated by the caller.

accept: f64

A slice is accepted when its vega-weighted RMS vol error is at most this fraction of its mean quoted vol.

max_restarts: usize

How many Halton restarts a slice may spend after its explicit guess.

Implementations

impl SabrSpec

pub fn new( formula: SabrFormula, beta: f64, shift: f64, ) -> Result<Self, SabrCalibrationError>

A spec reading formula with CEV exponent beta and displacement shift — both stated, never defaulted — accepting a slice at a relative RMS error of 2e-3 (a fifth of a basis point on a 100bp normal vol) within 20 restarts.

Errors

SabrCalibrationError::Spec for a β outside [0, 1] or a non-finite shift.

pub fn with_accept(self, accept: f64) -> Self

This spec accepting a slice at most accept relative RMS error.

pub fn with_max_restarts(self, restarts: usize) -> Self

This spec spending at most restarts Halton restarts per slice.

pub fn convention(&self) -> VolConvention

The convention the formula’s vols are quoted in.

Trait Implementations

impl Clone for SabrSpec

fn clone(&self) -> SabrSpec

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Copy for SabrSpec

impl Debug for SabrSpec

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

Formats the value using the given formatter.

impl PartialEq for SabrSpec

fn eq(&self, other: &SabrSpec) -> 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 SabrSpec