Struct ZeroCouponInflationCapFloor 

pub struct ZeroCouponInflationCapFloor {
    pub currency: Currency,
    pub index: String,
    pub collateral: CollateralSpec,
    pub base_date: NaiveDate,
    pub maturity: NaiveDate,
    pub notional: f64,
    pub strike: f64,
    pub kind: CapFloorKind,
    pub day_count: DayCountFraction,
    pub lag_months: u32,
}

A zero-coupon inflation cap or floor on a price index.

Fields

currency: Currency

The currency the option pays in.

index: String

The price index, by registry code.

collateral: CollateralSpec

The discounting the option is priced on.

base_date: NaiveDate

The base date: the flow date whose lagged observation is the ratio’s denominator, and where the strike’s compounding starts.

maturity: NaiveDate

Maturity: the payment date, and the flow date whose lagged observation is the numerator.

notional: f64

The notional.

strike: f64

The annualised zero-coupon strike k, as a decimal.

kind: CapFloorKind

Cap or floor.

day_count: DayCountFraction

The day count τ in (1+k)^τ is measured on.

lag_months: u32

The indexation lag, in whole months.

Implementations

impl ZeroCouponInflationCapFloor

pub fn new( currency: Currency, index: impl Into<String>, base_date: NaiveDate, maturity: NaiveDate, notional: f64, strike: f64, kind: CapFloorKind, lag_months: u32, ) -> Result<Self, CapFloorError>

A kind option on index from base_date to maturity, on notional, struck at the annualised rate strike, observing at lag_months, τ on ACT/365F.

Errors

CapFloorError::NonFiniteStrike for a strike that is not a finite number above −100% ((1+k)^τ is then undefined); CapFloorError::EmptyStrip if maturity is not after base_date.

pub fn accruing(self, day_count: DayCountFraction) -> Self

This option with τ measured on day_count.

pub fn year_fraction(&self) -> f64

τ, the day count from the base date to maturity.

pub fn ratio_strike(&self) -> f64

The strike on the index ratio, (1+k)^τ.

impl ZeroCouponInflationCapFloor

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

The forward index ratio I(T)/I(T0), each level observed as the zero-coupon inflation swap observes it: a print first, the curve otherwise.

Errors

As ZeroCouponInflationSwap::index_ratio.

Trait Implementations

impl Clone for ZeroCouponInflationCapFloor

fn clone(&self) -> ZeroCouponInflationCapFloor

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for ZeroCouponInflationCapFloor

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

Formats the value using the given formatter.

impl PartialEq for ZeroCouponInflationCapFloor

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

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

N·DF(T)·option(F, (1+k)^τ), F the forward index ratio: Black-76 on F for a lognormal CPI vol surface, Bachelier on it for a normal one, the vol read at the optionlet time and k; the intrinsic value once the terminal observation is published or the time has run out; nothing once maturity has passed.

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 ZeroCouponInflationCapFloor

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

Discounts on the option’s collateral, observes its price index and reads the index’s zero-coupon CPI vol surface.

impl Product for ZeroCouponInflationCapFloor

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 ZeroCouponInflationCapFloor