Struct SpreadModel 

struct SpreadModel<R: Scalar> {
    means: (R, R),
    sds: (R, R),
    correlation: R,
    convention: VolConvention,
}

The two rates a CMS spread observes: their adjusted means, their total standard deviations to the fixing, and the correlation joining them.

Fields

means: (R, R)

sds: (R, R)

correlation: R

convention: VolConvention

Implementations

impl<R: Scalar> SpreadModel<R>

fn mean(&self) -> R

The spread’s mean, m₁ − m₂.

fn option(&self, strike: f64, kind: OptionKind) -> R

fn call(&self, strike: f64) -> R

E[(S₁ − S₂ − K)⁺].