Struct YoyVolSurface 

pub struct YoyVolSurface {
    grid: RateVolSurface,
    displacement: f64,
}

A year-on-year inflation optionlet vol surface over expiry × strike.

Fields

grid: RateVolSurface

displacement: f64

Implementations

impl YoyVolSurface

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

A surface over ascending expiries (years) × ascending absolute YoY rate strikes, one row of vols per expiry, one entry per strike.

Errors

RateVolError::Malformed on an empty or non-ascending axis, a grid that does not match the axes, or a non-finite or non-positive vol.

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

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

Errors

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

pub fn with_displacement(self, displacement: f64) -> Result<Self, RateVolError>

This lognormal surface displaced by displacement: Black on F + d and K + d. One is the unit-displaced Black.

Errors

RateVolError::Malformed on a normal surface, which has nothing to displace, or a displacement that is negative or not finite.

pub fn convention(&self) -> VolConvention

The quoting convention.

pub fn displacement(&self) -> f64

The lognormal displacement; zero on a normal or plain Black surface.

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

The expiry pillars, in years.

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

The strike pillars, where the surface carries a smile; None on a flat one.

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

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

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

(expiry_years, strike) per parameter, in parameter order, with no strike 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.

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); None when a node leaves (0, ∞).

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

The surface at mode R.

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

The surface over a caller’s parameter vector.

Errors

RateVolError::ParameterCountMismatch on the wrong length.

Trait Implementations

impl Clone for YoyVolSurface

fn clone(&self) -> YoyVolSurface

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for YoyVolSurface

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

Formats the value using the given formatter.

impl PartialEq for YoyVolSurface

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