Struct Xccy

struct Xccy {
    hw: HullWhiteParameters<f64>,
    dynamics: CrossCurrencyDynamics<f64>,
    spot: f64,
    sigma: f64,
}

Expand description

What a cross-currency note adds to the model: the collateral currency’s Hull-White factor, the correlations, and the FX rate’s spot and volatility (note units per collateral unit). Under the note currency’s measure the collateral currency’s factor drifts by −ρ_fS·σ_f·σ_S and S_t = S_0·exp(∫r_d − ∫r_f − ½σ_S²t + σ_S·W_t), so E[D_d(t)·S_t] = S_0·P_f(0,t).

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§hw: HullWhiteParameters<f64>§dynamics: CrossCurrencyDynamics<f64>§spot: f64§sigma: f64

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Xccy

Struct Xccy Copy item path

Fields§

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impl Freeze for Xccy

impl RefUnwindSafe for Xccy

impl Send for Xccy

impl Sync for Xccy

impl Unpin for Xccy

impl UnsafeUnpin for Xccy

impl UnwindSafe for Xccy

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impl<T> Any for Twhere T: 'static + ?Sized,

fn type_id(&self) -> TypeId

impl<T> Borrow<T> for Twhere T: ?Sized,

fn borrow(&self) -> &T

impl<T> BorrowMut<T> for Twhere T: ?Sized,

fn borrow_mut(&mut self) -> &mut T

impl<T> From<T> for T

fn from(t: T) -> T

impl<T, U> Into<U> for Twhere U: From<T>,

fn into(self) -> U

impl<T, U> TryFrom<U> for Twhere U: Into<T>,

type Error = Infallible

fn try_from(value: U) -> Result<T, <T as TryFrom<U>>::Error>

impl<T, U> TryInto<U> for Twhere U: TryFrom<T>,

type Error = <U as TryFrom<T>>::Error

fn try_into(self) -> Result<U, <U as TryFrom<T>>::Error>

Struct Xccy

impl<T> Any for T
where T: 'static + ?Sized,

impl<T> Borrow<T> for T
where T: ?Sized,

impl<T> BorrowMut<T> for T
where T: ?Sized,

impl<T, U> Into<U> for T
where U: From<T>,

impl<T, U> TryFrom<U> for T
where U: Into<T>,

impl<T, U> TryInto<U> for T
where U: TryFrom<T>,