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SabrParams

helixrs::models::sabr

Struct SabrParams 

pub struct SabrParams<R> {
    pub alpha: R,
    pub beta: f64,
    pub rho: R,
    pub nu: R,
    pub shift: f64,
}
Expand description

The SABR parameters a smile is read at.

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§alpha: R

The initial vol, in the formula’s units.

§beta: f64

The CEV exponent — configuration, not risk.

§rho: R

The correlation of the forward and its vol.

§nu: R

The vol of vol.

§shift: f64

The displacement added to the forward and the strike.

Trait Implementations§

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impl<R: Clone> Clone for SabrParams<R>

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fn clone(&self) -> SabrParams<R>

Returns a duplicate of the value. Read more
1.0.0 (const: unstable) · Source§

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

Performs copy-assignment from source. Read more
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impl<R: Copy> Copy for SabrParams<R>

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impl<R: Debug> Debug for SabrParams<R>

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

Formats the value using the given formatter. Read more
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impl<R: PartialEq> PartialEq for SabrParams<R>

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fn eq(&self, other: &SabrParams<R>) -> bool

Tests for self and other values to be equal, and is used by ==.
1.0.0 (const: unstable) · Source§

fn ne(&self, other: &Rhs) -> bool

Tests for !=. The default implementation is almost always sufficient, and should not be overridden without very good reason.
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impl<R: PartialEq> StructuralPartialEq for SabrParams<R>

Auto Trait Implementations§

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impl<R> Freeze for SabrParams<R>
where R: Freeze,

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impl<R> RefUnwindSafe for SabrParams<R>
where R: RefUnwindSafe,

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impl<R> Send for SabrParams<R>
where R: Send,

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impl<R> Sync for SabrParams<R>
where R: Sync,

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impl<R> Unpin for SabrParams<R>
where R: Unpin,

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impl<R> UnsafeUnpin for SabrParams<R>
where R: UnsafeUnpin,

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impl<R> UnwindSafe for SabrParams<R>
where R: UnwindSafe,

Blanket Implementations§

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

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fn type_id(&self) -> TypeId

Gets the TypeId of self. Read more
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impl<T> Borrow<T> for T
where T: ?Sized,

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fn borrow(&self) -> &T

Immutably borrows from an owned value. Read more
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impl<T> BorrowMut<T> for T
where T: ?Sized,

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

Mutably borrows from an owned value. Read more
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impl<T> CloneToUninit for T
where T: Clone,

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unsafe fn clone_to_uninit(&self, dest: *mut u8)

🔬This is a nightly-only experimental API. (clone_to_uninit)
Performs copy-assignment from self to dest. Read more
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impl<T> From<T> for T

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fn from(t: T) -> T

Returns the argument unchanged.

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

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fn into(self) -> U

Calls U::from(self).

That is, this conversion is whatever the implementation of From<T> for U chooses to do.

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impl<T> ToOwned for T
where T: Clone,

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type Owned = T

The resulting type after obtaining ownership.
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fn to_owned(&self) -> T

Creates owned data from borrowed data, usually by cloning. Read more
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fn clone_into(&self, target: &mut T)

Uses borrowed data to replace owned data, usually by cloning. Read more
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impl<T, U> TryFrom<U> for T
where U: Into<T>,

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type Error = Infallible

The type returned in the event of a conversion error.
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fn try_from(value: U) -> Result<T, <T as TryFrom<U>>::Error>

Performs the conversion.
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impl<T, U> TryInto<U> for T
where U: TryFrom<T>,

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

The type returned in the event of a conversion error.
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fn try_into(self) -> Result<U, <U as TryFrom<T>>::Error>

Performs the conversion.