Struct BondOption 

pub struct BondOption {
    pub bond: CallableBond,
    pub expiry: NaiveDate,
    pub settlement: NaiveDate,
    pub strike: BondStrike,
    pub kind: OptionKind,
    pub engine: BondOptionEngine,
    pub repo_key: Option<String>,
    pub yield_vol_key: Option<String>,
}

A European option on a fixed-coupon bullet bond, physically settled.

Fields

bond: CallableBond

The deliverable bond, with its collateral and any security spread. A bullet: the call schedule is empty and the bond is not credit-tagged.

expiry: NaiveDate

The expiry — the exercise decision date the premium discounts from.

settlement: NaiveDate

The exercise settlement date the forward price is struck at: physical delivery settles like a cash trade done at expiry. A stored contract term, on or after the expiry.

strike: BondStrike

The strike, in one of the market’s quoting forms.

kind: OptionKind

Call (the right to buy the bond) or put.

engine: BondOptionEngine

The model the option prices under.

repo_key: Option<String>

The repo curve the forward carries on, by key; None carries on the discount curve.

yield_vol_key: Option<String>

The key of the bond yield vol surface the option reads, one surface per security if wanted; None reads the bond’s currency.

Implementations

impl BondOption

pub fn new( bond: CallableBond, expiry: NaiveDate, strike: BondStrike, kind: OptionKind, ) -> Result<Self, BondOptionError>

A bond option settling on its expiry, priced off the yield vol surface, carried on the discount curve.

Errors

BondOptionError for a callable or credit-tagged underlying, a non-finite strike, or an expiry on or after maturity.

pub fn with_yield_vol_key(self, key: impl Into<String>) -> Self

This option reading the bond yield vol surface pinned under key rather than its currency’s.

pub fn yield_vol_key(&self) -> &str

The key of the surface the option reads: its own, or the currency.

pub fn settling_on(self, settlement: NaiveDate) -> Result<Self, BondOptionError>

This option with exercise settling on settlement.

Errors

BondOptionError::SettlementBeforeExpiry if it precedes the expiry.

pub fn with_engine(self, engine: BondOptionEngine) -> Self

This option priced under engine.

pub fn financed_on(self, key: impl Into<String>) -> Self

This option with the forward carried on the repo curve under key.

pub fn accrued_at_exercise(&self) -> f64

Accrued per 100 at exercise settlement.

pub fn dirty_strike(&self) -> f64

The dirty cash strike at exercise settlement per 100 of the original face — the basis every price the crate reports is on — from whichever quoting form the strike carries.

A clean or dirty strike is quoted per 100 of the face alive at exercise settlement, so on an amortiser it is scaled by the fraction alive; the accrued already accrues on that fraction and is added as it is. A yield strike’s implied dirty price is on the original face already. A bullet’s fraction is exactly one.

impl BondOption

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

The forward dirty price per 100 at exercise settlement: the spot carried on the repo curve when the option declares one, on the discount curve otherwise — bit-identical to the discount-only price rebased to settlement in that case.

pub fn npv_with_diagnostics<R: Scalar>( &self, view: &PricingView<'_, R>, ) -> Result<(R, BondOptionDiagnostics), PricingError>

The yield-vol engine’s premium with the quantities it was built from.

The forward yield and duration are solved passively on the forward and reattached in the mode by the implicit-function slopes ∂y/∂F = 1/P′ and ∂D/∂F = (−P″/P + (P′/P)²)/P′ from one second-order pricing pass — so the surface is read at a duration that carries the curve’s adjoints, and the price vol carries them through both factors. Freezing either would drop its slope from the sensitivities.

Errors

PricingError::UnsupportedForProduct under the Hull-White engine or for an expired option, a missing surface, or the solver’s failures.

Trait Implementations

impl Clone for BondOption

fn clone(&self) -> BondOption

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for BondOption

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

Formats the value using the given formatter.

impl PartialEq for BondOption

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

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

Under the yield-vol engine, npv_with_diagnostics’s premium; under Hull-White, the Jamshidian kernel on the deliverable flows after exercise settlement against the dirty strike, per unit face, scaled by the face. An expired option is worth nothing.

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

The par rate — the fixed rate at which the product is worth nothing.

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

The par (breakeven) floating-leg spread. Zero for a product with no floating leg.

impl PricingRiskFactors for BondOption

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

Discounts on the bond’s collateral with its security spread, carries on the declared repo curve, and declares only what the engine reads: the currency’s bond yield vols, or its Hull-White parameters.

impl Product for BondOption

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 BondOption