Struct FxVolSmile 

pub struct FxVolSmile {
    quotes: Vec<DeltaQuote>,
    vols: Vec<f64>,
}

One expiry’s smile: (quote, vol) nodes, from the lowest strike’s quote to the highest’s — puts, ATM, calls.

Fields

quotes: Vec<DeltaQuote>

vols: Vec<f64>

Implementations

impl FxVolSmile

pub fn new(nodes: &[(DeltaQuote, f64)]) -> Result<Self, FxVolError>

A smile from (quote, vol) nodes, sorted into quote order.

Errors

FxVolError::Malformed on no nodes, a delta outside (0, 1), a non-positive vol, or the same quote twice.

pub fn from_quotes( atm: f64, risk_reversal: f64, butterfly: f64, ) -> Result<Self, FxVolError>

The market’s three-quote smile: the ATM vol, and the 25-delta wings from a risk reversal and a butterfly — σ_25P = atm + bf − rr/2, σ_25C = atm + bf + rr/2.

Errors

As new.

pub fn quotes(&self) -> &[DeltaQuote]

The node quotes, in smile order.

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

The node vols, in smile order.

fn position(&self, quote: DeltaQuote) -> Option<usize>

The position of quote on this smile, if it carries one.

fn len(&self) -> usize

Trait Implementations

impl Clone for FxVolSmile

fn clone(&self) -> FxVolSmile

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for FxVolSmile

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

Formats the value using the given formatter.

impl PartialEq for FxVolSmile

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