Struct SabrVolSurface 

pub struct SabrVolSurface {
    expiries: Vec<f64>,
    tenors: Vec<f64>,
    formula: SabrFormula,
    beta: f64,
    shift: f64,
    params: Vec<f64>,
    fit: Option<Arc<SabrFitRecord>>,
}

A SABR rate smile surface over expiry × tenor, in years.

Fields

expiries: Vec<f64>

tenors: Vec<f64>

formula: SabrFormula

beta: f64

shift: f64

params: Vec<f64>

[σ_ATM…, ρ…, ν…], each block expiry-major — the free parameters.

fit: Option<Arc<SabrFitRecord>>

How the surface was fitted, where it was: what the par vega reading maps its rows through. None on a surface built from parameters.

Implementations

impl SabrVolSurface

pub fn new( expiries: Vec<f64>, tenors: Vec<f64>, formula: SabrFormula, beta: f64, shift: f64, atm_vols: &[Vec<f64>], rhos: &[Vec<f64>], nus: &[Vec<f64>], ) -> Result<Self, RateVolError>

A surface over ascending expiries × ascending tenors (years), one row per expiry in each of atm_vols, rhos and nus, read under formula with CEV exponent beta and displacement shift.

Errors

RateVolError::Malformed on an empty or non-ascending axis, a ragged block, a non-positive or non-finite ATM vol, |ρ| at or beyond the model’s bound, a negative ν, a β outside [0, 1] (β and the shift are not read under SabrFormula::NormalBetaZero), or a non-finite shift.

pub(crate) fn with_fit(self, fit: Arc<SabrFitRecord>) -> Self

This surface carrying the record of the fit that built it.

pub fn fit(&self) -> Option<&Arc<SabrFitRecord>>

The record of the fit that built the surface, where one did.

pub fn is_fitted(&self) -> bool

Whether the surface was fitted, carrying the quote Jacobian a par vega reads; one stated by its parameters was not.

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

The expiry pillars, in years.

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

The tenor pillars, in years.

pub fn formula(&self) -> SabrFormula

The formula the smile is read under.

pub fn beta(&self) -> f64

The CEV exponent.

pub fn shift(&self) -> f64

The displacement.

pub fn convention(&self) -> VolConvention

Whether the smile’s vols are Bachelier or Black vols.

fn nodes(&self) -> usize

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

The free parameters: [σ_ATM…, ρ…, ν…], each block expiry-major.

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

(expiry_years, tenor_years, parameter) per free parameter, in order.

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

Each node’s ATM vol replaced by f(expiry_years, atm_vol), ρ and ν held — a vol scenario; None when an ATM vol leaves (0, ∞). The fit record does not survive: the moved surface is not the one the quotes built.

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

Every ATM vol multiplied by factor.

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

The surface at mode R.

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

The surface over a caller’s parameter vector.

Errors

RateVolError::ParameterCountMismatch on the wrong length.

Trait Implementations

impl Clone for SabrVolSurface

fn clone(&self) -> SabrVolSurface

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for SabrVolSurface

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

Formats the value using the given formatter.

impl From<SabrVolSurface> for RateSmile

fn from(surface: SabrVolSurface) -> Self

Converts to this type from the input type.

impl PartialEq for SabrVolSurface

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