Struct EquityOption 

pub struct EquityOption {
    pub name: String,
    pub currency: Currency,
    pub kind: OptionKind,
    pub strike: f64,
    pub expiry: NaiveDate,
    pub quantity: f64,
    pub collateral: CollateralSpec,
    pub barrier: Option<Barrier>,
}

A European option on quantity shares of one equity, exercised and settled in cash on its expiry, with an optional single barrier.

Fields

name: String

The equity’s name, as the market quotes its spot and vol surface.

currency: Currency

The premium and settlement currency.

kind: OptionKind

Call or put.

strike: f64

The strike per share.

expiry: NaiveDate

The exercise and payment date.

quantity: f64

Shares; negative is short.

collateral: CollateralSpec

The discounting collateral.

barrier: Option<Barrier>

A single knock-in or knock-out barrier; None is a vanilla.

Implementations

impl EquityOption

pub fn new( name: impl Into<String>, currency: Currency, kind: OptionKind, strike: f64, expiry: NaiveDate, quantity: f64, ) -> Result<Self, EquityOptionError>

A long or short option on quantity shares of name, discounted on the currency’s cash collateral.

Errors

EquityOptionError for a non-positive strike or a zero quantity.

pub fn with_barrier( self, kind: BarrierKind, level: f64, rebate: f64, ) -> Result<Self, EquityOptionError>

This option with a single continuously monitored barrier.

Errors

EquityOptionError::MalformedBarrier for a non-positive level or a negative rebate.

Trait Implementations

impl Clone for EquityOption

fn clone(&self) -> EquityOption

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for EquityOption

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

Formats the value using the given formatter.

impl PartialEq for EquityOption

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

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

Black-Scholes on the dividend-free forward F = S / P(T): Q · P(T) · Black76(F, K, σ(T, K), τ), or the closed-form single-barrier value with a barrier; zero on and after expiry.

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 EquityOption

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

The collateral’s discount curve, the equity’s spot and its vol surface.

impl Product for EquityOption

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 EquityOption