RustQuant::instruments

Struct AsianOption

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pub struct AsianOption {
    pub contract: OptionContract,
    pub averaging_method: AveragingMethod,
    pub strike: Option<f64>,
}
Expand description

Asian option.

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§contract: OptionContract

The option contract.

§averaging_method: AveragingMethod

Averging method (arithmetic or geometric).

§strike: Option<f64>

Strike price of the option. Required for fixed strike Asian options.

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impl AsianOption

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pub fn new( contract: OptionContract, averaging_method: AveragingMethod, strike: Option<f64>, ) -> AsianOption

Create a new Asian option.

Trait Implementations§

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impl Clone for AsianOption

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fn clone(&self) -> AsianOption

Returns a duplicate of the value. Read more
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fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source. Read more
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impl Debug for AsianOption

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

Formats the value using the given formatter. Read more
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impl<S> MonteCarloPricer<S> for AsianOption
where S: StochasticProcess,

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fn price_monte_carlo( &self, process: &S, config: &StochasticProcessConfig, rate: f64, ) -> f64

Price the instrument using a Monte-Carlo method. Read more
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impl Payoff for AsianOption

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type Underlying = Vec<f64>

Underlying input type for the payoff function.
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fn payoff(&self, underlying: <AsianOption as Payoff>::Underlying) -> f64

Payoff function for the derivative.

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

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fn instrument(self, span: Span) -> Instrumented<Self>

Instruments this type with the provided Span, returning an Instrumented wrapper. Read more
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