Struct CalibratedSigma 

pub struct CalibratedSigma {
    pub currency: Currency,
    pub mean_reversion: f64,
    pub shape: SigmaShape,
    pub sigma: SigmaTerm<f64>,
    pub piece_ends: Vec<NaiveDate>,
    pub d_sigma_d_vol: Vec<Vec<f64>>,
    pub fits: Vec<InstrumentFit>,
    pub evaluations: usize,
    pub surface_points: Vec<StripPoint>,
}

The calibration result: the fitted volatility, its sensitivity to every quote, and the per-instrument report.

Fields

currency: Currency

The currency whose parameters were fitted.

mean_reversion: f64

The exogenous mean reversion the fit ran under.

shape: SigmaShape

The shape the fit ran in.

sigma: SigmaTerm<f64>

The fitted volatility: flat, or one piece per strip expiry.

piece_ends: Vec<NaiveDate>

The date each piece ends on — the strip expiries, in order; empty for a flat fit.

d_sigma_d_vol: Vec<Vec<f64>>

∂σ_j/∂ν_i: one row per piece (a single row for a flat fit), one column per strip quote in the order of fits.

fits: Vec<InstrumentFit>

One row per strip instrument — in expiry order for a piecewise fit.

evaluations: usize

How many strip pricings the fit took, for the record.

surface_points: Vec<StripPoint>

The strip points whose vol no pinned quote supplied, read at the money off the currency’s swaption surface instead. Their columns of d_sigma_d_vol are sensitivities to a surface read, not to a quote, so no quote sensitivity is reported for them.

Implementations

impl CalibratedSigma

pub fn flat(&self) -> Option<f64>

The fitted σ of a flat fit, None for a piecewise one.

pub fn labels(&self) -> Vec<String>

The exogenous label each piece is pinned under, in piece order — the flat label alone for a flat fit.

Trait Implementations

impl Clone for CalibratedSigma

fn clone(&self) -> CalibratedSigma

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for CalibratedSigma

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

Formats the value using the given formatter.