Enum SwaptionSettlement 

pub enum SwaptionSettlement {
    Physical,
    Cash,
}

How a European swaption settles on exercise.

Physical delivery pays off on the swap’s own annuity. Cash settlement in the par-yield (ISDA “IRR”) convention pays the annuity of the fixed leg discounted at the forward swap rate itself, compounded at the fixed frequency from the swap’s start — the Cash Settlement Payment Date of ISDA 2006 §18.2 — the EUR market’s standard, and the reference libraries’ ParYieldCurve method. A collateralised cash price settles on the physical annuity and is the physical arm.

Variants

Physical

Delivery of the swap: the payoff on its discounted annuity.

Cash

Cash on the par-yield annuity: DF(S)·Σ τₖ·(1 + F/f)^(−f·tₖ), S the swap’s start and tₖ measured from it.

Implementations

impl SwaptionSettlement

pub const ACCEPTED: &'static [&'static str]

Every spelling this vocabulary accepts, canonical forms first.

Matching additionally ignores case and _/-/whitespace — see normalize in core::vocabulary.

pub fn code(self) -> &'static str

The canonical code for this variant; round-trips through FromStr.

Trait Implementations

impl Clone for SwaptionSettlement

fn clone(&self) -> SwaptionSettlement

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Copy for SwaptionSettlement

impl Debug for SwaptionSettlement

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

Formats the value using the given formatter.

impl Default for SwaptionSettlement

fn default() -> SwaptionSettlement

Returns the “default value” for a type.

impl Eq for SwaptionSettlement

impl FromStr for SwaptionSettlement

type Err = VocabularyParseError

The associated error which can be returned from parsing.

fn from_str(s: &str) -> Result<Self, Self::Err>

Parses a string s to return a value of this type.

impl PartialEq for SwaptionSettlement

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