Struct Straddle 

pub struct Straddle {
    pub first: AnyInstrument,
    pub second: AnyInstrument,
}

Two options of one strategy, valued as their sum.

Fields

first: AnyInstrument

The first option.

second: AnyInstrument

The second option.

Implementations

impl Straddle

pub fn new( first: AnyInstrument, second: AnyInstrument, ) -> Result<Self, StraddleError>

The pair as one product.

Errors

StraddleError for a leg that is not an FX option or a European swaption, or two legs that read different markets.

Trait Implementations

impl Clone for Straddle

fn clone(&self) -> Straddle

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for Straddle

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

Formats the value using the given formatter.

impl PartialEq for Straddle

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

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

The two options’ values, summed.

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 Straddle

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

The one market both options read, checked equal at construction.

impl Product for Straddle

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 Straddle