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DiscretizedCallableLoan

helixrs::market::pricers

Struct DiscretizedCallableLoan 

struct DiscretizedCallableLoan<R> {
    coupons: Vec<(usize, R)>,
    exercises: Vec<(usize, R, CallKind)>,
    last: usize,
}
Expand description

DiscretizedCallableBond with its flows and strikes in the pricing mode: a callable loan’s floating coupons read the curves.

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§coupons: Vec<(usize, R)>§exercises: Vec<(usize, R, CallKind)>§last: usize

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impl<R> DiscretizedCallableLoan<R>

fn new(coupons: Vec<(usize, R)>, exercises: Vec<(usize, R, CallKind)>) -> Self

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impl<R: Scalar> DiscretizedAsset<R> for DiscretizedCallableLoan<R>

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fn adjust_values(&self, step: usize, _l: &HullWhiteLattice<R>, values: &mut [R])

As DiscretizedCallableBond’s: exercise on the ex-flow continuation, then this slice’s flows.

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fn last_step(&self) -> usize

The last (latest) step index where the asset has value — rollback starts here.

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