Enum CallPrice 

#[non_exhaustive]
pub enum CallPrice {
    Clean(f64),
    Dirty(f64),
    MakeWhole {
        benchmark: String,
        spread_bp: f64,
    },
}

The price at which an embedded option redeems, per 100 face. Clean excludes accrued interest (the common quoting form, e.g. a 101 call); Dirty includes it. MakeWhole is a price function of a benchmark + spread, resolvable only against a curve: it is reference data here, excluded from the curve-free yield analytics and non-exercisable in pricing until model support lands.

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.

Clean(f64)

Clean price per 100 face (accrued added on the exercise date).

Dirty(f64)

Dirty (all-in) price per 100 face.

MakeWhole

A make-whole redemption: the remaining flows discounted at the benchmark yield plus spread_bp, resolved at exercise time against the referenced benchmark curve.

Fields

benchmark: String

The benchmark reference the redemption discounts against (a curve / index identifier, e.g. "UST").

spread_bp: f64

The make-whole spread over the benchmark, in basis points.

Implementations

impl CallPrice

pub fn is_make_whole(&self) -> bool

Whether this is a make-whole entry (curve-dependent redemption amount).

Trait Implementations

impl Clone for CallPrice

fn clone(&self) -> CallPrice

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for CallPrice

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

Formats the value using the given formatter.

impl PartialEq for CallPrice

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