Struct YoyInflationCapFloor 

pub struct YoyInflationCapFloor {
    pub leg: Leg,
    pub strike: f64,
    pub kind: CapFloorKind,
    pub currency: Currency,
    pub index: String,
    pub lag_months: u32,
    pub collateral: CollateralSpec,
}

A strip of year-on-year inflation caplets or floorlets on a price index.

Fields

leg: Leg

The strip’s plain year-on-year coupons, received: what each option is written on.

strike: f64

The strike every optionlet is struck at, on the YoY rate.

kind: CapFloorKind

Cap or floor.

currency: Currency

The currency the strip pays in.

index: String

The price index, by registry code.

lag_months: u32

The observation lag, in whole months.

collateral: CollateralSpec

The discounting the strip is priced on.

Implementations

impl YoyInflationCapFloor

pub fn new( currency: Currency, index: impl Into<String>, base_date: NaiveDate, maturity: NaiveDate, notional: f64, strike: f64, kind: CapFloorKind, lag_months: u32, ) -> Result<Self, CapFloorError>

A kind strip on index over annual periods from base_date up to and including maturity, on notional, struck at strike, observing at lag_months — the periods a YoyInflationSwap on the same dates generates: unadjusted, accruing ACT/365F, each paying on its end.

Errors

CapFloorError::NonFiniteStrike for a NaN or infinite strike; CapFloorError::EmptyStrip if maturity is not after base_date.

pub fn from_dates( currency: Currency, index: impl Into<String>, dates: &[NaiveDate], notional: f64, strike: f64, kind: CapFloorKind, lag_months: u32, ) -> Result<Self, CapFloorError>

A strip over caller-supplied boundaries: n + 1 dates for n periods, each paying on its end, accruing ACT/365F.

Errors

CapFloorError::NonFiniteStrike for a NaN or infinite strike; CapFloorError::EmptyStrip for fewer than two boundaries.

pub fn accruing(self, day_count: DayCountFraction) -> Self

This strip with every period accruing on day_count.

pub fn notional(&self) -> f64

The notional the periods accrue on.

Trait Implementations

impl Clone for YoyInflationCapFloor

fn clone(&self) -> YoyInflationCapFloor

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for YoyInflationCapFloor

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

Formats the value using the given formatter.

impl PartialEq for YoyInflationCapFloor

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

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

Σ N·τᵢ·DF(payᵢ)·optionletᵢ(K) over the periods still to pay, each optionlet the one a capped (floored) YoY coupon composes its payoff from — see YoyInflationCoupon::option_rate.

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

Unsupported: a cap is quoted as a price or a vol, not a rate.

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

Unsupported: a cap carries no margin.

impl PricingRiskFactors for YoyInflationCapFloor

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

Discounts on the strip’s collateral, observes its price index and reads the index’s year-on-year optionlet vol surface.

impl Product for YoyInflationCapFloor

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 YoyInflationCapFloor