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VolInput

rustyqlib::core::vols

Enum VolInput

pub enum VolInput {
    Flat {
        vol: f64,
        day_count: DayCountConvention,
    },
    StrikeExpiry {
        expiries: Vec<Tenor>,
        strikes: Vec<f64>,
        vols: Vec<Vec<f64>>,
        day_count: DayCountConvention,
    },
    MoneynessExpiry {
        expiries: Vec<Tenor>,
        moneyness: Vec<f64>,
        vols: Vec<Vec<f64>>,
        day_count: DayCountConvention,
    },
    DeltaExpiry {
        expiries: Vec<Tenor>,
        deltas: Vec<f64>,
        vols: Vec<Vec<f64>>,
        day_count: DayCountConvention,
    },
}

Expand description

The accepted input forms for a volatility surface. Deserializes from JSON; canonicalized at construction (VolSurface::from_input).

For the grid forms, vols[i][j] is the vol at expiries[i] and the j-th strike/moneyness/delta.

Variants§

Flat

A single constant volatility for all strikes and expiries.

Fields

§vol: f64

§day_count: DayCountConvention

StrikeExpiry

Absolute strike x expiry grid (equity convention).

Fields

§expiries: Vec<Tenor>

§strikes: Vec<f64>

§vols: Vec<Vec<f64>>

§day_count: DayCountConvention

MoneynessExpiry

Forward moneyness (K/F) x expiry grid.

Fields

§expiries: Vec<Tenor>

§moneyness: Vec<f64>

§vols: Vec<Vec<f64>>

§day_count: DayCountConvention

DeltaExpiry

Forward call delta x expiry grid (FX convention).

Fields

§expiries: Vec<Tenor>

§deltas: Vec<f64>

§vols: Vec<Vec<f64>>

§day_count: DayCountConvention

Trait Implementations§

impl Clone for VolInput

fn clone(&self) -> VolInput

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 VolInput

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

Formats the value using the given formatter. Read more

impl<'de> Deserialize<'de> for VolInput

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 VolInput

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 VolInput

impl RefUnwindSafe for VolInput

impl Send for VolInput

impl Sync for VolInput

impl Unpin for VolInput

impl UnsafeUnpin for VolInput

impl UnwindSafe for VolInput

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