Struct LoanOnLattice
struct LoanOnLattice<R: Scalar> {
lattice: HullWhiteLattice<R>,
flows: Vec<(usize, R)>,
lent: Vec<(usize, usize, f64)>,
exercises: Vec<(usize, f64, CallKind)>,
credit: Option<StepCredit<R>>,
}Expand description
A callable loan’s servicing on its Hull-White lattice, from the lender’s
side: its fixed flows and exercises on their steps, and each floating
coupon still to fix as (start step, payment step, N).
Fields§
§lattice: HullWhiteLattice<R>§flows: Vec<(usize, R)>§lent: Vec<(usize, usize, f64)>§exercises: Vec<(usize, f64, CallKind)>§credit: Option<StepCredit<R>>Implementations§
§impl<R: Scalar> LoanOnLattice<R>
impl<R: Scalar> LoanOnLattice<R>
fn rollback(&self, oas: R) -> R
fn rollback(&self, oas: R) -> R
The servicing’s value at a continuous spread oas over the lattice’s
rate. A floating coupon still floats on the unshifted rate, so the
N its replication lends is discounted at the spread, and weighted by
survival, over its period.
Auto Trait Implementations§
impl<R> Freeze for LoanOnLattice<R>where
R: Freeze,
impl<R> RefUnwindSafe for LoanOnLattice<R>where
R: RefUnwindSafe,
impl<R> Send for LoanOnLattice<R>
impl<R> Sync for LoanOnLattice<R>
impl<R> Unpin for LoanOnLattice<R>where
R: Unpin,
impl<R> UnsafeUnpin for LoanOnLattice<R>where
R: UnsafeUnpin,
impl<R> UnwindSafe for LoanOnLattice<R>where
R: UnwindSafe,
Blanket Implementations§
Source§impl<T> BorrowMut<T> for Twhere
T: ?Sized,
impl<T> BorrowMut<T> for Twhere
T: ?Sized,
Source§fn borrow_mut(&mut self) -> &mut T
fn borrow_mut(&mut self) -> &mut T
Mutably borrows from an owned value. Read more