Struct CdsOptionValue 

pub struct CdsOptionValue {
    pub value: f64,
    pub forward: f64,
    pub annuity: f64,
}

A single-name CDS option’s value, and the forward it was struck against.

Fields

value: f64

A·Black(F, K, σ, T), in money on the underlying’s notional.

forward: f64

F: the forward CDS spread, the underlying’s protection over its annuity.

annuity: f64

A: the forward risky annuity, survival-weighted from the valuation date — which is what knocks the option out on a default before expiry.

Trait Implementations

impl Clone for CdsOptionValue

fn clone(&self) -> CdsOptionValue

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Copy for CdsOptionValue

impl Debug for CdsOptionValue

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

Formats the value using the given formatter.

impl PartialEq for CdsOptionValue

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