Struct FutureOptionVolView 

pub struct FutureOptionVolView<'a, R: Scalar> {
    data: &'a FutureOptionVolSurface,
    params: Cow<'a, [R]>,
}

A futures option vol surface lifted into mode R.

Fields

data: &'a FutureOptionVolSurface

params: Cow<'a, [R]>

Implementations

impl<'a, R: Scalar> FutureOptionVolView<'a, R>

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

The lifted node vols, in parameter order.

pub fn convention(&self) -> VolConvention

The quoting convention.

pub fn year_fraction(&self, date: NaiveDate) -> f64

The year fraction from the surface’s reference date to date, in the measure the vols are quoted per unit of. A pricer reads its option’s life here rather than counting it for itself.

pub fn vol(&self, expiry: NaiveDate, strike: f64) -> R

The vol at expiry and strike: linear in strike within an expiry, linear in total variance across expiries, flat beyond every end.

fn row_vol(&self, i: usize, strike: f64) -> R

Expiry row i’s vol at strike, linear between strikes, flat beyond.

pub fn passive(&self) -> FutureOptionVolView<'a, f64>

The derivative-free projection.

Trait Implementations

impl<'a, R: Clone + Scalar> Clone for FutureOptionVolView<'a, R>

fn clone(&self) -> FutureOptionVolView<'a, R>

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl<'a, R: Debug + Scalar> Debug for FutureOptionVolView<'a, R>

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

Formats the value using the given formatter.