Struct Caplet 

pub struct Caplet {
    pub fixing: NaiveDate,
    pub expiry_years: f64,
    pub forward: f64,
    pub weight: f64,
    pub maturity_years: f64,
    pub variance_years: f64,
}

One caplet of a strip, passively: what a formula prices it on.

Fields

fixing: NaiveDate

The coupon’s fixing date.

expiry_years: f64

Year fraction from the valuation date to the fixing, floored at zero.

forward: f64

The coupon’s projected rate — or its fixing, once observed.

weight: f64

N·τ·DF(pay): what one unit of undiscounted payoff is worth.

maturity_years: f64

Year fraction from the valuation date to the coupon’s payment — the maturity of the cap this caplet is the last of.

variance_years: f64

The time the caplet’s variance accrues over, which is not always its expiry: for a term fixing the two are equal, and for a rate compounded over [S, E] it is S + (E − S)/3, the accrual period contributing a third of itself because the part of the rate still unset decays linearly across it.

Trait Implementations

impl Clone for Caplet

fn clone(&self) -> Caplet

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Copy for Caplet

impl Debug for Caplet

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

Formats the value using the given formatter.

impl PartialEq for Caplet

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