Enum SabrFormula 

#[non_exhaustive]
pub enum SabrFormula {
    HaganLognormal,
    HaganNormal,
    NormalBetaZero,
}

Which expansion of the SABR implied vol is read.

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.

HaganLognormal

Hagan 2002 eq. 2.17a: a (shifted) Black vol.

HaganNormal

Hagan 2002 eq. B.69a: a (shifted) Bachelier vol.

NormalBetaZero

Hagan 2002 eq. B.59a with a constant local vol — a Bachelier vol at any forward and strike.

Implementations

impl SabrFormula

pub const ACCEPTED: &'static [&'static str]

Every spelling this vocabulary accepts, canonical forms first.

Matching additionally ignores case and _/-/whitespace — see normalize in core::vocabulary.

pub fn code(self) -> &'static str

The canonical code for this variant; round-trips through FromStr.

impl SabrFormula

pub fn is_normal(self) -> bool

Whether the formula’s vol is a Bachelier (normal) vol.

Trait Implementations

impl Clone for SabrFormula

fn clone(&self) -> SabrFormula

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Copy for SabrFormula

impl Debug for SabrFormula

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

Formats the value using the given formatter.

impl Eq for SabrFormula

impl FromStr for SabrFormula

type Err = VocabularyParseError

The associated error which can be returned from parsing.

fn from_str(s: &str) -> Result<Self, Self::Err>

Parses a string s to return a value of this type.

impl Hash for SabrFormula

fn hash<__H: Hasher>(&self, state: &mut __H)

Feeds this value into the given Hasher.

fn hash_slice<H>(data: &[Self], state: &mut H)

where H: Hasher, Self: Sized,

Feeds a slice of this type into the given Hasher.

impl PartialEq for SabrFormula

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