Struct BondOptionDiagnostics 

pub struct BondOptionDiagnostics {
    pub forward_dirty: f64,
    pub forward_yield: f64,
    pub forward_duration: f64,
    pub yield_vol: f64,
    pub price_vol: f64,
    pub accrued_at_exercise: f64,
    pub dirty_strike: f64,
    pub expiry_years: f64,
}

The yield-vol engine’s intermediate quantities — what a trader reconciles against a vendor screen. Reapplying the closed-form Black/Bachelier formula to these reproduces the premium.

Fields

forward_dirty: f64

Forward dirty price per 100 at exercise settlement.

forward_yield: f64

Forward yield on the dirty forward (compounded at the coupon frequency).

forward_duration: f64

Forward modified duration at the forward yield, in years.

yield_vol: f64

The yield vol read at (expiry, forward_duration).

price_vol: f64

The price vol after the duration conversion, in the units the pricing formula consumed: absolute per 100 under Normal, relative under Lognormal.

accrued_at_exercise: f64

Accrued per 100 at exercise settlement.

dirty_strike: f64

The dirty cash strike per 100.

expiry_years: f64

Expiry in years, Act/365F from valuation.

Trait Implementations

impl Clone for BondOptionDiagnostics

fn clone(&self) -> BondOptionDiagnostics

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Copy for BondOptionDiagnostics

impl Debug for BondOptionDiagnostics

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

Formats the value using the given formatter.

impl PartialEq for BondOptionDiagnostics

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