Enum RateSmileView 

pub enum RateSmileView<'a, R: Scalar> {
    Grid(RateVolView<'a, R>),
    Sabr(SabrVolView<'a, R>),
}

A rate smile lifted into mode R, whichever representation it is.

Variants

Grid(RateVolView<'a, R>)

A grid.

Sabr(SabrVolView<'a, R>)

A SABR surface.

Implementations

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

pub fn day_count(&self) -> DayCountFraction

The day count the smile’s expiries are measured on: a grid’s own, a SABR surface’s Act/365F.

pub fn convention(&self) -> VolConvention

The smile’s convention.

pub fn vol_at( &self, expiry_years: f64, tenor_years: f64, forward: R, strike: f64, ) -> Result<R, RateVolError>

The vol at (expiry_years, tenor_years) of strike at forward — the read every smiled product makes. A grid reads as it always has: at the spread strike − forward (the forward’s passive value) on a surface quoted at spreads, at the strike on one quoted at absolute strikes, at the money on one without a smile; the forward carries no derivative through it. A SABR surface reads its model at the forward, so the forward’s adjoints flow through the vol.

Errors

RateVolError::Sabr where the SABR smile refuses.

pub fn displacement(&self) -> f64

The displacement a lognormal vol off this smile is priced at: a shifted-lognormal SABR smile’s shift, zero on a grid (whose lognormal vols are plain Black) and on a normal smile (which a shift leaves unchanged).

pub fn undiscounted( &self, forward: R, strike: f64, vol: R, t: f64, kind: OptionKind, ) -> Result<R, ModelError>

The undiscounted option on forward at strike at vol over t, priced in this smile’s convention: Bachelier for a normal smile, Black-76 at displacement for a lognormal one. A grid’s lognormal read prices exactly as plain Black-76.

Errors

ModelError::NotLognormal for a non-positive displaced forward or strike under a lognormal smile.

pub fn grid(&self) -> Option<&RateVolView<'a, R>>

The grid, where the smile is one — for the reads only a grid answers.

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

The derivative-free projection.

Trait Implementations

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

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

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

Formats the value using the given formatter.