Enum SwaptionUnderlying 

#[non_exhaustive]
pub enum SwaptionUnderlying {
    Vanilla(VanillaSwap),
    Ois(OvernightIndexedSwap),
}

The swap a swaption is written on: the closed two-arm set.

Variants (Non-exhaustive)

Non-exhaustive enums could have additional variants added in future. Therefore, when matching against variants of non-exhaustive enums, an extra wildcard arm must be added to account for any future variants.

Vanilla(VanillaSwap)

A fixed-versus-IBOR swap.

Ois(OvernightIndexedSwap)

An overnight-indexed swap — the post-LIBOR market.

Implementations

impl SwaptionUnderlying

pub fn as_instrument(&self) -> AnyInstrument

This underlying as an instrument in its own right.

The widening back into AnyInstrument belongs here, beside the narrow union it inverts, rather than in a binding that would have to be taught each arm again.

impl SwaptionUnderlying

pub fn fixed(&self) -> &Leg

The fixed leg.

pub fn floating(&self) -> &Leg

The floating leg.

pub fn currency(&self) -> Currency

The swap’s currency — the discount, Hull-White and vol-surface key.

pub fn index(&self) -> &str

The projection index the floating leg resets against.

pub fn collateral(&self) -> &CollateralSpec

What the swap is collateralised against.

fn fixed_coupons(&self) -> impl Iterator<Item = &FixedRateCoupon>

The fixed leg’s coupons, in order — the accrual periods the option’s annuity and the Hull-White coupon bond are built from. Redemptions, if a leg carried any, are not rate-bearing and are skipped.

pub fn effective_date(&self) -> Option<NaiveDate>

The fixed leg’s first accrual start — the underlying’s effective date.

pub fn termination_date(&self) -> Option<NaiveDate>

The fixed leg’s last accrual end — the underlying’s termination.

pub fn last_payment_date(&self) -> Option<NaiveDate>

The fixed leg’s last payment date.

pub fn fixed_periods(&self) -> Vec<(NaiveDate, NaiveDate, f64)>

The fixed leg’s periods as (accrual start, payment date, accrual year fraction), in accrual order — the coupon bond the Hull-White engines price. Exercise on a date enters the periods whose accrual starts on or after it: with a payment lag, the period that has just ended still pays after the exercise date and must not be entered.

pub fn periods_entered_on(&self, date: NaiveDate) -> Vec<(NaiveDate, f64)>

The fixed periods entered by exercising on date: (payment date, accrual year fraction) for every period whose accrual starts on or after it.

pub fn notional(&self) -> f64

The notional the fixed leg is written on.

pub fn tenor_years(&self) -> f64

The underlying’s tenor in years — Act/365F over the fixed leg’s accrual span, the coordinate the vol surface is read at.

Trait Implementations

impl Clone for SwaptionUnderlying

fn clone(&self) -> SwaptionUnderlying

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for SwaptionUnderlying

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

Formats the value using the given formatter.

impl PartialEq for SwaptionUnderlying

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