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OptionTerms

helixrs::cashflows::coupons

Struct OptionTerms 

struct OptionTerms {
    gearing: f64,
    spread: f64,
    currency: Currency,
    expiry: f64,
    variance: f64,
    tenor: f64,
}
Expand description

What the optionlets on a coupon’s rate read: the rate’s gearing and spread, the currency whose cap vols price them, the time the vol is read at and the time its variance accrues over, and the surface’s tenor column.

Fields§

§gearing: f64§spread: f64§currency: Currency§expiry: f64§variance: f64§tenor: f64

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