Struct YieldMoments 

pub struct YieldMoments {
    pub price: f64,
    pub first: f64,
    pub second: f64,
}

The price and its first two yield derivatives at one yield, from one second-order pricing pass. Every yield-space measure is a ratio of these, so a caller wanting duration, convexity, and DV01 together prices once and reads three numbers.

Fields

price: f64

The dirty price P.

first: f64

∂P/∂y.

second: f64

∂²P/∂y².

Implementations

impl YieldMoments

pub fn modified_duration(self) -> f64

Modified duration: −P′/P.

pub fn convexity(self) -> f64

Convexity: P″/P.

pub fn dv01(self) -> f64

DV01 per 100 face: the price change for a one-basis-point yield move.

pub fn yield_sensitivity(self) -> f64

∂y/∂P at this yield — the implicit-function derivative of the pricing relationship, 1/P′.

pub fn money_duration(self, face: f64) -> f64

Money duration at a stated face: modified duration times the money price. The per-100 figures scale linearly, so this is a reading rather than a second pass.

pub fn money_dv01(self, face: f64) -> f64

DV01 in money at a stated face — dv01 scaled from per 100 face to the bond’s own.

Trait Implementations

impl Clone for YieldMoments

fn clone(&self) -> YieldMoments

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Copy for YieldMoments

impl Debug for YieldMoments

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

Formats the value using the given formatter.

impl PartialEq for YieldMoments

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