Struct AutocallablePayoff 

pub struct AutocallablePayoff {
    pub exercise_style: ContractStyle,
    pub autocall_barrier: f64,
    pub protection_barrier: f64,
    pub coupon: f64,
    pub observations: usize,
    pub notional: f64,
    pub initial_fixing: f64,
}

Fields

exercise_style: ContractStyle

autocall_barrier: f64

Early-redemption trigger level (absolute).

protection_barrier: f64

Knock-in barrier for the capital protection (absolute).

coupon: f64

Coupon (rebate) accrued per observation period, paid at call.

observations: usize

Number of equally spaced observations over the life (last = expiry).

notional: f64

initial_fixing: f64

Contractual initial fixing for the downside participation ratio.

Implementations

impl AutocallablePayoff

pub fn path_value(&self, path: &[f64], obs_idx: &[usize], dfs: &[f64]) -> f64

Value of one simulated path: redemption cash flow times the discount factor of its payment date. obs_idx maps observation m to its path step; dfs[m] is the discount factor to that date.

Trait Implementations

impl Debug for AutocallablePayoff

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

Formats the value using the given formatter.

impl Payoff for AutocallablePayoff

fn payoff(&self, _spot: f64, _strike: f64) -> f64

Degenerate single-point value: zero (all value is path- and schedule-dependent).

fn path_payoff(&self, _path: &[f64], _strike: f64) -> f64

Payoff for a full simulated path (used by Monte Carlo). Terminal payoffs default to the last point; Asian/Barrier override this. The path excludes the initial spot (it starts at the first step).

fn is_path_dependent(&self) -> bool

True when the payoff depends on the whole path (Asian, Barrier), so engines must simulate paths rather than terminal values.

fn payoff_kind(&self) -> PayoffType

fn put_or_call(&self) -> &PutOrCall

fn exercise_style(&self) -> &ContractStyle

fn as_any(&self) -> &dyn Any

Downcast hook so pricers that need payoff-specific details (e.g. the analytic pricer distinguishing cash- from asset-or-nothing binaries) can recover the concrete payoff type.

fn payoff_amount(&self, base: &EquityOptionBase) -> f64

Intrinsic value at the option’s current underlying price.