Struct FutureOptionVolSurface 

pub struct FutureOptionVolSurface {
    reference: NaiveDate,
    expiries: Vec<NaiveDate>,
    strikes: Vec<f64>,
    vols: Vec<f64>,
    convention: VolConvention,
    measure: DayCountFraction,
}

A listed future’s option vol surface.

Fields

reference: NaiveDate

expiries: Vec<NaiveDate>

Ascending listed expiries; empty on a flat surface.

strikes: Vec<f64>

Ascending strikes, per 100 face; empty on a flat surface.

vols: Vec<f64>

Node vols, row-major by expiry — the free parameters.

convention: VolConvention

measure: DayCountFraction

The day count the vols are quoted per year of.

Implementations

impl FutureOptionVolSurface

pub fn new( reference: NaiveDate, expiries: Vec<NaiveDate>, strikes: Vec<f64>, rows: &[Vec<f64>], convention: VolConvention, ) -> Result<Self, RateVolError>

A surface marked on reference over ascending expiries × ascending strikes (per 100 face), one row of vols per expiry.

Errors

RateVolError::Malformed on an empty or non-ascending axis, an expiry on or before reference, a grid that does not match the axes, a non-finite or non-positive vol, or a non-positive strike under the lognormal convention.

pub fn flat( reference: NaiveDate, vol: f64, convention: VolConvention, ) -> Result<Self, RateVolError>

One vol at every expiry and strike, marked on reference. One node, one parameter.

Errors

RateVolError::Malformed for a non-finite or non-positive vol.

pub fn with_day_count(self, day_count: DayCountFraction) -> Self

This surface with its vols quoted per year of day_count rather than ACT/365F — a guide’s Act/360, say. The node vols are unchanged; only the time an option reads them over is.

pub fn day_count(&self) -> DayCountFraction

The day count the vols are quoted per year of.

pub fn reference(&self) -> NaiveDate

The date the surface was marked on — where its time is measured from.

pub fn convention(&self) -> VolConvention

The quoting convention: a Black-76 price vol, or a Bachelier price vol in points per year.

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

The listed expiries; empty on a flat surface.

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

The strikes, per 100 face; empty on a flat surface.

pub fn is_flat(&self) -> bool

Whether the surface is one flat vol.

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

The free parameters — every node vol, row-major by expiry.

pub fn parameter_keys(&self) -> Vec<(Option<NaiveDate>, Option<f64>)>

(expiry, strike) per parameter, in parameter order; both None on a flat surface.

pub fn len(&self) -> usize

How many parameters the surface holds.

pub fn is_empty(&self) -> bool

Whether the surface holds no parameters. Never true of a built one.

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

Every node vol multiplied by factor — a relative vol shock.

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

Each node vol replaced by f(expiry_years, vol), the years measured from the reference date (a flat surface’s node reads at one year, as the other flat vol surfaces do); None when a node leaves (0, ∞).

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

The surface over a caller’s parameter vector.

Errors

RateVolError::ParameterCountMismatch on the wrong length.

Trait Implementations

impl Clone for FutureOptionVolSurface

fn clone(&self) -> FutureOptionVolSurface

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for FutureOptionVolSurface

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

Formats the value using the given formatter.

impl PartialEq for FutureOptionVolSurface

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