Struct LatticeMoments 

pub struct LatticeMoments {
    pub price: f64,
    pub first: f64,
    pub second: f64,
}

The callable’s clean price and its first two derivatives with respect to a parallel continuous shift of the discounting, from one lattice pass.

The lattice-space sibling of YieldMoments: every effective measure is a ratio of these three numbers, so a caller wanting duration, convexity and DV01 together prices once and reads three.

The price is the clean price per 100 face, matching clean_price_at_oas and callable_oas, so the ratios are in the units the bond is quoted in.

Not the risk vector’s sum

This is not the sum of the bond’s zero-rate risk ladder, and the two should not be reconciled. That sum is Σᵢ ∂P/∂paramᵢ · ∂paramᵢ/∂s, and ∂paramᵢ/∂s depends on what the curve family stores — 1 for a zero-rate pillar, −τᵢ for a log-discount one — so the bare sum is only the parallel sensitivity under one parameterisation. These moments are taken from a shift of the discounting itself and are family-independent.

Fields

price: f64

The clean price per 100 face.

first: f64

∂P/∂s for a parallel continuous shift s.

second: f64

∂²P/∂s².

Implementations

impl LatticeMoments

pub fn effective_duration(self) -> f64

Effective duration: −P′/P.

“Effective” because the exercise decision moves with the shift — the callable’s cashflows are rate-dependent, so this is not its yield duration.

pub fn effective_convexity(self) -> f64

Effective convexity: P″/P. Negative where the call binds, which is the defining feature of a callable.

pub fn effective_dv01(self) -> f64

Effective DV01 per 100 face: the price change for a one-basis-point parallel shift.

Trait Implementations

impl Clone for LatticeMoments

fn clone(&self) -> LatticeMoments

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Copy for LatticeMoments

impl Debug for LatticeMoments

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

Formats the value using the given formatter.

impl PartialEq for LatticeMoments

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