Struct IndexPeriod

struct IndexPeriod<R> {
    from: f64,
    to: f64,
    accrual: f64,
    lead: f64,
    df_from: R,
    df_to: R,
}

Expand description

One premium period an index pays after an option’s expiry: years from expiry to its start (expiry itself, for the period running across it) and its payment, its accrual, the years it had accrued by its start, and the forward discount factors from expiry to its start and payment.

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§from: f64§to: f64§accrual: f64§lead: f64§df_from: R§df_to: R

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impl<R: Scalar> IndexPeriod<R>

fn legs(&self, h: R) -> (R, R)

The period’s premium per unit spread and its protection per unit loss under a flat hazard h from expiry: the ISDA standard model’s kernels, accrual on default proportional to the time accrued.

Auto Trait Implementations§

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IndexPeriod

Struct IndexPeriod Copy item path

Fields§

Implementations§

impl<R: Scalar> IndexPeriod<R>

fn legs(&self, h: R) -> (R, R)

Auto Trait Implementations§

impl<R> Freeze for IndexPeriod<R>where R: Freeze,

impl<R> RefUnwindSafe for IndexPeriod<R>where R: RefUnwindSafe,

impl<R> Send for IndexPeriod<R>where R: Send,

impl<R> Sync for IndexPeriod<R>where R: Sync,

impl<R> Unpin for IndexPeriod<R>where R: Unpin,

impl<R> UnsafeUnpin for IndexPeriod<R>where R: UnsafeUnpin,

impl<R> UnwindSafe for IndexPeriod<R>where R: UnwindSafe,

Blanket Implementations§

impl<T> Any for Twhere T: 'static + ?Sized,

fn type_id(&self) -> TypeId

impl<T> Borrow<T> for Twhere T: ?Sized,

fn borrow(&self) -> &T

impl<T> BorrowMut<T> for Twhere T: ?Sized,

fn borrow_mut(&mut self) -> &mut T

impl<T> From<T> for T

fn from(t: T) -> T

impl<T, U> Into<U> for Twhere U: From<T>,

fn into(self) -> U

impl<T, U> TryFrom<U> for Twhere U: Into<T>,

type Error = Infallible

fn try_from(value: U) -> Result<T, <T as TryFrom<U>>::Error>

impl<T, U> TryInto<U> for Twhere U: TryFrom<T>,

type Error = <U as TryFrom<T>>::Error

fn try_into(self) -> Result<U, <U as TryFrom<T>>::Error>

Struct IndexPeriod

impl<R> Freeze for IndexPeriod<R>
where R: Freeze,

impl<R> RefUnwindSafe for IndexPeriod<R>
where R: RefUnwindSafe,

impl<R> Send for IndexPeriod<R>
where R: Send,

impl<R> Sync for IndexPeriod<R>
where R: Sync,

impl<R> Unpin for IndexPeriod<R>
where R: Unpin,

impl<R> UnsafeUnpin for IndexPeriod<R>
where R: UnsafeUnpin,

impl<R> UnwindSafe for IndexPeriod<R>
where R: UnwindSafe,

impl<T> Any for T
where T: 'static + ?Sized,

impl<T> Borrow<T> for T
where T: ?Sized,

impl<T> BorrowMut<T> for T
where T: ?Sized,

impl<T, U> Into<U> for T
where U: From<T>,

impl<T, U> TryFrom<U> for T
where U: Into<T>,

impl<T, U> TryInto<U> for T
where U: TryFrom<T>,