Struct BermudanSwaption 

pub struct BermudanSwaption {
    pub underlying: SwaptionUnderlying,
    pub exercise_dates: Vec<NaiveDate>,
    pub strike: f64,
    pub kind: SwaptionKind,
}

A Bermudan swaption: a co-terminal swap exercisable on a set of dates, priced on the Hull-White lattice.

Fields

underlying: SwaptionUnderlying

The co-terminal swap the option confers; exercise on a date enters the swap’s remaining fixed periods.

exercise_dates: Vec<NaiveDate>

The exercise dates, strictly ascending, all before the underlying’s last fixed payment.

strike: f64

The fixed rate the option confers.

kind: SwaptionKind

Payer or receiver.

Implementations

impl BermudanSwaption

pub fn new( underlying: SwaptionUnderlying, exercise_dates: Vec<NaiveDate>, strike: f64, kind: SwaptionKind, ) -> Result<Self, SwaptionError>

A Bermudan swaption.

Errors

SwaptionError for no exercise dates, dates that are not strictly ascending, a non-finite strike, an empty fixed leg, or a last exercise on or after the underlying’s last fixed payment.

pub fn is_payer(&self) -> bool

Whether the holder pays fixed on exercise.

Trait Implementations

impl Clone for BermudanSwaption

fn clone(&self) -> BermudanSwaption

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for BermudanSwaption

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

Formats the value using the given formatter.

impl PartialEq for BermudanSwaption

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

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

Rolls back on a lattice whose grid carries every exercise date — and every fixed payment before the last one — as an exact slice, taking at each exercise slice the larger of continuation and the swap’s model value. Nothing left to exercise after the valuation date is worth nothing.

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 BermudanSwaption

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

Discounts on the underlying’s collateral under the currency’s Hull-White parameters, and projects its index: each exercise strikes on the delivered swap’s own floating leg through the basis spread.

impl Product for BermudanSwaption

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 BermudanSwaption