Struct Digital 

pub struct Digital {
    pub call: Option<DigitalStrike>,
    pub put: Option<DigitalStrike>,
    pub naked: bool,
    pub gap: f64,
}

Digital options on a floating coupon’s rate.

A call pays when the rate ends above its strike, a put when it ends below. Still to fix, each is replicated by a call spread gap wide, centred on the strike, over the coupon capped (a call) or floored (a put) either side of it: (C(K − gap/2) − C(K + gap/2)) / gap for the digital call, the same with floorlets for the put, times the cash rate — or times the strike plus the caplet (floorlet, subtracted) at the strike for asset-or-nothing. The coupon pays its own rate as well unless the option is naked.

Fields

call: Option<DigitalStrike>

The call side, when there is one.

put: Option<DigitalStrike>

The put side, when there is one.

naked: bool

Whether the coupon pays only the options, not its own rate.

gap: f64

The call spread’s width, on the rate; the default central replication is 1e-4.

Implementations

impl Digital

pub const DEFAULT_GAP: f64 = 1e-4

The default call spread: centred, one basis point wide.

pub fn new( call: Option<DigitalStrike>, put: Option<DigitalStrike>, naked: bool, gap: f64, ) -> Result<Self, PayoffError>

A digital with call and put sides, checked.

Errors

PayoffError for no side, a gap that is not positive, or a strike or cash rate that is not finite.

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

What a printed reset at rate pays: the rate (unless naked), plus each digital it ended strictly beyond, signed by its side.

Trait Implementations

impl Clone for Digital

fn clone(&self) -> Digital

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Copy for Digital

impl Debug for Digital

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

Formats the value using the given formatter.

impl PartialEq for Digital

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