Struct Collar 

pub struct Collar {
    pub cap: Option<f64>,
    pub floor: Option<f64>,
}

A cap and/or floor on a floating coupon’s rate gearing · index + spread, as a decimal each.

A coupon whose reset has printed pays its rate clamped. One still to fix is worth its forward rate less a caplet at the cap plus a floorlet at the floor, each on the index at the strike the collar implies, (K − spread) / gearing, times |gearing| — read off the currency’s cap vol surface at the fixing and the index tenor.

Fields

cap: Option<f64>

The most the rate pays.

floor: Option<f64>

The least the rate pays.

Implementations

impl Collar

pub fn new(cap: Option<f64>, floor: Option<f64>) -> Result<Self, PayoffError>

A collar capped at cap and floored at floor, checked.

Errors

PayoffError for neither bound, a floor above the cap, or a bound that is not finite.

pub fn clamp<R: Scalar>(&self, rate: R) -> R

rate held within the collar: what a printed reset pays.

Trait Implementations

impl Clone for Collar

fn clone(&self) -> Collar

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Copy for Collar

impl Debug for Collar

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

Formats the value using the given formatter.

impl PartialEq for Collar

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