Struct BondFutureOption 

pub struct BondFutureOption {
    pub contract: ListedFutureId,
    pub expiry: NaiveDate,
    pub strike: f64,
    pub kind: OptionKind,
    pub exercise: ExerciseStyle,
    pub premium_style: PremiumStyle,
    pub contracts: f64,
    pub point_value: f64,
    pub side: f64,
    pub traded_premium: f64,
    pub currency: Currency,
    pub collateral: CollateralSpec,
}

An option on a listed bond future: the right to a futures position at the strike, priced off the quoted futures price and the contract’s option vol surface.

Two contract axes decide the model (see npv): the PremiumStyle — futures-style is margined and undiscounted, paid is discounted to expiry — and the ExerciseStyle, which matters only when the premium is paid.

The value is per position: side · contracts · point value · (model − traded premium) for a futures-style option, whose margin settles against the price it was traded at, and side · contracts · point value · model for a paid one, whose premium is a past exchange rather than a claim.

Fields

contract: ListedFutureId

The future the option exercises into.

expiry: NaiveDate

The last day the option can be exercised.

strike: f64

The strike, per 100 face of the future.

kind: OptionKind

Call (the right to go long the future) or put.

exercise: ExerciseStyle

European or American.

premium_style: PremiumStyle

Futures-style or paid.

contracts: f64

The number of contracts held.

point_value: f64

What one price point is worth per contract — 1,000 for most bond futures, 2,000 for the CBOT 2-year.

side: f64

+1 long, −1 short.

traded_premium: f64

The premium the option was traded at, per 100 face.

currency: Currency

The currency the option settles in.

collateral: CollateralSpec

The collateral a paid premium’s option value is discounted under.

Implementations

impl BondFutureOption

pub fn new( contract: ListedFutureId, expiry: NaiveDate, strike: f64, kind: OptionKind, premium_style: PremiumStyle, exercise: ExerciseStyle, currency: Currency, ) -> Result<Self, BondFutureOptionError>

One long contract on contract, struck at strike per 100, expiring on expiry, with a point value of 1,000, traded at a premium of zero and discounted on currency’s cash collateral.

Errors

BondFutureOptionError::Strike for a strike that is not finite.

pub fn with_contracts( self, contracts: f64, ) -> Result<Self, BondFutureOptionError>

This option on contracts contracts.

Errors

BondFutureOptionError::Contracts unless finite and positive.

pub fn with_point_value( self, point_value: f64, ) -> Result<Self, BondFutureOptionError>

This option with one price point worth point_value per contract.

Errors

BondFutureOptionError::PointValue unless finite and positive.

pub fn with_traded_premium( self, premium: f64, ) -> Result<Self, BondFutureOptionError>

This option traded at premium per 100.

Errors

BondFutureOptionError::Premium for a negative or non-finite one.

pub fn with_collateral(self, collateral: CollateralSpec) -> Self

This option discounted under collateral.

pub fn short(self) -> Self

The short side.

pub fn price_point_value(&self) -> f64

What one price point is worth to this position.

impl BondFutureOption

fn model_parts<R: Scalar>( &self, view: &PricingView<'_, R>, ) -> Result<FutureOptionParts<R>, PricingError>

The per-100 model value and its parts.

On or after expiry, the intrinsic value against the quoted price. Before it: Black-76 (lognormal surface) or Bachelier (normal) on the quoted price at the surface’s vol for the expiry and strike — undiscounted for a futures-style premium, where American exercise adds nothing; multiplied by the discount factor to expiry for a paid one, and for a paid American, Barone-Adesi–Whaley with zero carry.

pub fn npv_with_diagnostics( &self, view: &PricingView<'_, f64>, ) -> Result<(f64, BondFutureOptionDiagnostics), PricingError>

The per-100 model value and the quantities it is priced from, on the passive view.

Errors

As npv.

Trait Implementations

impl Clone for BondFutureOption

fn clone(&self) -> BondFutureOption

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for BondFutureOption

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

Formats the value using the given formatter.

impl PartialEq for BondFutureOption

fn eq(&self, other: &BondFutureOption) -> 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<R: Scalar> Priceable<R> for BondFutureOption

fn npv(&self, view: &PricingView<'_, R>) -> Result<R, PricingError>

side · contracts · point value · (model − traded premium) for a futures-style option — margined, so undiscounted and netting the price it was traded at — and side · contracts · point value · model for a paid one. The model is per 100: see model_parts.

fn par_rate(&self, _view: &PricingView<'_, R>) -> Result<R, PricingError>

Unsupported: an option is quoted as a price or a vol, not a rate.

fn par_spread(&self, _view: &PricingView<'_, R>) -> Result<R, PricingError>

Unsupported: an option carries no margin.

impl PricingRiskFactors for BondFutureOption

fn risk_factors(&self) -> Result<RiskFactors<'_>, PricingError>

Reads the contract’s quoted price and its option vol surface, and discounts on the option’s collateral — which only a paid premium reads, so a futures-style option’s risk carries no rate row.

impl Product for BondFutureOption

fn currency(&self) -> Currency

The currency the product pays in. An FX product values in its quote currency; a book converts.

fn contract_dates(&self) -> Vec<(&'static str, NaiveDate)>

The contract dates the product resolved to, as (name, date) pairs — exactly the dates its stated constructor takes, so a product built through a derived form can be read back and rebuilt through the stated one. Empty for a product with no stated form. No default: every product states which it is — see AnyInstrument::contract_dates.

fn legs(&self) -> Option<Vec<&Leg>>

The legs the product itself holds, in a declared order, or None for a product that holds none — see AnyInstrument::legs. No default: every product states which it is.

fn final_payment_date(&self) -> Option<NaiveDate>

The date of the product’s final payment, where a calibration rung can be built on it; None for a product no ladder is built from.

fn restruck_at_rate(&self, _rate: f64) -> Option<AnyInstrument>

This product re-struck at the par rate rate — the scalar a par calibration rung on it is quoted in — or None for a product that carries no such scalar. What a quote scenario moves a rung to.

fn restruck_at_spread(&self, _spread: f64) -> Option<AnyInstrument>

This product re-struck at the basis spread spread on its spread leg, or None for a product that quotes none.

impl StructuralPartialEq for BondFutureOption