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CurveInput

rustyqlib::core::curves

Enum CurveInput

pub enum CurveInput {
    Flat {
        rate: f64,
        compounding: Compounding,
        day_count: DayCountConvention,
    },
    ZeroRates {
        tenors: Vec<Tenor>,
        rates: Vec<f64>,
        compounding: Compounding,
        day_count: DayCountConvention,
        interpolation: InterpolationMethod,
    },
    DiscountFactors {
        tenors: Vec<Tenor>,
        dfs: Vec<f64>,
        compounding: Compounding,
        day_count: DayCountConvention,
        interpolation: InterpolationMethod,
    },
    ForwardRates {
        tenors: Vec<Tenor>,
        forwards: Vec<f64>,
        compounding: Compounding,
        day_count: DayCountConvention,
        interpolation: InterpolationMethod,
    },
}

Expand description

The accepted input forms for a curve. This is what deserializes from JSON; every form is canonicalized to discount factors at construction (YieldCurve::from_input), so pricing code sees a single representation.

Variants§

Flat

A single constant rate for all maturities.

Fields

§rate: f64

§compounding: Compounding

§day_count: DayCountConvention

ZeroRates

Zero rates quoted in compounding at the given tenors.

Fields

§tenors: Vec<Tenor>

§rates: Vec<f64>

§compounding: Compounding

§day_count: DayCountConvention

§interpolation: InterpolationMethod

DiscountFactors

Discount factors at the given tenors (compounding only sets the quoting convention for rate queries on the resulting curve).

Fields

§tenors: Vec<Tenor>

§dfs: Vec<f64>

§compounding: Compounding

§day_count: DayCountConvention

§interpolation: InterpolationMethod

ForwardRates

Forward rates, each applying from the previous tenor (or the reference date for the first) to its own tenor.

Fields

§tenors: Vec<Tenor>

§forwards: Vec<f64>

§compounding: Compounding

§day_count: DayCountConvention

§interpolation: InterpolationMethod

Trait Implementations§

impl Clone for CurveInput

fn clone(&self) -> CurveInput

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

impl Debug for CurveInput

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

Formats the value using the given formatter. Read more

impl<'de> Deserialize<'de> for CurveInput

fn deserialize<D>(deserializer: D) -> Result<Self, D::Error>
where __D: Deserializer<'de>,

Deserialize this value from the given Serde deserializer. Read more

impl Serialize for CurveInput

fn serialize<S>(&self, serializer: S) -> Result<S::Ok, S::Error>
where S: Serializer,

Serialize this value into the given Serde serializer. Read more

Auto Trait Implementations§

impl Freeze for CurveInput

impl RefUnwindSafe for CurveInput

impl Send for CurveInput

impl Sync for CurveInput

impl Unpin for CurveInput

impl UnsafeUnpin for CurveInput

impl UnwindSafe for CurveInput

Blanket Implementations§

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

fn type_id(&self) -> TypeId

Gets the TypeId of self. Read more

impl<T> Borrow<T> for T
where T: ?Sized,

fn borrow(&self) -> &T

Immutably borrows from an owned value. Read more

impl<T> BorrowMut<T> for T
where T: ?Sized,

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

Mutably borrows from an owned value. Read more

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

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

impl<T> DeserializeOwned for T
where T: for<'de> Deserialize<'de>,

impl<T> From<T> for T

fn from(t: T) -> T

Returns the argument unchanged.

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

fn into(self) -> U

Calls U::from(self).

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

impl<T> Pointable for T

const ALIGN: usize

The alignment of pointer.

type Init = T

The type for initializers.

unsafe fn init(init: <T as Pointable>::Init) -> usize

Initializes a with the given initializer. Read more

unsafe fn deref<'a>(ptr: usize) -> &'a T

Dereferences the given pointer. Read more

unsafe fn deref_mut<'a>(ptr: usize) -> &'a mut T

Mutably dereferences the given pointer. Read more

unsafe fn drop(ptr: usize)

Drops the object pointed to by the given pointer. Read more

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

type Owned = T

The resulting type after obtaining ownership.

fn to_owned(&self) -> T

Creates owned data from borrowed data, usually by cloning. Read more

fn clone_into(&self, target: &mut T)

Uses borrowed data to replace owned data, usually by cloning. Read more

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

type Error = Infallible

The type returned in the event of a conversion error.

fn try_from(value: U) -> Result<T, <T as TryFrom<U>>::Error>

Performs the conversion.

impl<T, U> TryInto<U> for T
where U: TryFrom<T>,

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

The type returned in the event of a conversion error.

fn try_into(self) -> Result<U, <U as TryFrom<T>>::Error>

Performs the conversion.

impl<V, T> VZip<V> for T
where V: MultiLane<T>,

fn vzip(self) -> V