Struct SabrVolView 

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

A SABR surface lifted into mode R.

Fields

data: &'a SabrVolSurface

params: Cow<'a, [R]>

Implementations

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

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

The lifted parameters.

pub fn surface(&self) -> &'a SabrVolSurface

The surface the view reads.

pub fn convention(&self) -> VolConvention

The smile’s convention.

pub fn node_parameters(&self, expiry_years: f64, tenor_years: f64) -> (R, R, R)

(σ_ATM, ρ, ν) at (expiry_years, tenor_years): bilinear between nodes, flat outside.

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

The SABR vol at (expiry_years, tenor_years) of strike at forward — α implied from the interpolated ATM vol at that forward.

Errors

RateVolError::Sabr where the formula or the ATM solve refuses.

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

The derivative-free projection.

Trait Implementations

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

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

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

Formats the value using the given formatter.