Struct CreditVolSurface 

pub struct CreditVolSurface {
    expiries: Vec<f64>,
    vols: Vec<f64>,
}

Black vols of the forward spread by expiry: linear in total variance between quoted expiries, flat in vol beyond either end — the expiry rule a rate vol surface reads by.

Fields

expiries: Vec<f64>

vols: Vec<f64>

Implementations

impl CreditVolSurface

pub fn new(points: &[(f64, f64)]) -> Result<Self, CreditVolError>

A surface from (expiry_years, vol) points.

Errors

CreditVolError for no points, expiries not positive and strictly increasing, or a vol that is not finite and positive.

pub fn flat(vol: f64) -> Result<Self, CreditVolError>

One vol at every expiry, quoted at one year.

Errors

CreditVolError::Vol for a vol that is not finite and positive.

pub fn points(&self) -> Vec<(f64, f64)>

The quoted (expiry_years, vol) points, in order.

pub fn scaled(&self, factor: f64) -> Self

This surface with every vol multiplied by factor — the relative shock a vol scenario applies.

pub fn mapped(&self, f: impl Fn(f64, f64) -> f64) -> Option<Self>

This surface with each vol replaced by f(expiry_years, vol) — a vol shock by expiry. None when a vol leaves (0, ∞).

pub fn expiries(&self) -> &[f64]

The quoted expiries, in years: where each parameter sits.

pub fn parameters(&self) -> &[f64]

The stored vols, in expiry order: the surface’s parameters.

pub fn vol(&self, expiry_years: f64) -> f64

The vol at expiry_years.

pub fn view<R: Scalar>(&self) -> CreditVolView<'_, R>

The surface at mode R: the passive lift borrows, every active mode converts.

pub fn view_with<'a, R: Scalar>( &'a self, params: &'a [R], ) -> Result<CreditVolView<'a, R>, CreditVolError>

The surface over a caller’s parameter vector.

Errors

CreditVolError::ParameterCount on the wrong length.

Trait Implementations

impl Clone for CreditVolSurface

fn clone(&self) -> CreditVolSurface

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for CreditVolSurface

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

Formats the value using the given formatter.

impl PartialEq for CreditVolSurface

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