Enum SabrError 

#[non_exhaustive]
pub enum SabrError {
    Parameter {
        name: &'static str,
        value: f64,
    },
    Domain {
        forward: f64,
        strike: f64,
    },
    NonPositiveVol {
        formula: SabrFormula,
        vol: f64,
    },
    NoAlpha {
        atm_vol: f64,
    },
}

SABR inputs the formulas cannot evaluate.

Variants (Non-exhaustive)

Non-exhaustive enums could have additional variants added in future. Therefore, when matching against variants of non-exhaustive enums, an extra wildcard arm must be added to account for any future variants.

Parameter

A parameter outside the model’s domain.

Fields

name: &'static str

Which: alpha, beta, rho, nu or shift.

value: f64

Its value.

Domain

A shifted forward or strike at or below zero, which the lognormal and shifted normal expansions take a power or a log of.

Fields

forward: f64

The shifted forward.

strike: f64

The shifted strike.

NonPositiveVol

The expansion’s correction took the vol to zero or below.

Fields

formula: SabrFormula

The formula.

vol: f64

The vol it produced.

NoAlpha

No positive α reproduces the ATM vol.

Fields

atm_vol: f64

The ATM vol asked for.

Trait Implementations

impl Clone for SabrError

fn clone(&self) -> SabrError

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Copy for SabrError

impl Debug for SabrError

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

Formats the value using the given formatter.

impl Display for SabrError

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

Formats the value using the given formatter.

impl Error for SabrError

fn source(&self) -> Option<&(dyn Error + 'static)>

Returns the lower-level source of this error, if any.

fn description(&self) -> &str

👎Deprecated since 1.42.0:

use the Display impl or to_string()

fn cause(&self) -> Option<&dyn Error>

👎Deprecated since 1.33.0:

replaced by Error::source, which can support downcasting

fn provide<'a>(&'a self, request: &mut Request<'a>)

🔬This is a nightly-only experimental API. (error_generic_member_access)

Provides type-based access to context intended for error reports.

impl PartialEq for SabrError

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