Struct MertonJumps 

pub struct MertonJumps {
    pub intensity: f64,
    pub mean_jump: f64,
    pub jump_vol: f64,
}

Lognormal (Merton) jumps: ln(1 + J) ~ N(ln(1 + mean_jump) - jump_vol^2/2, jump_vol^2), arriving at intensity per year.

Fields

intensity: f64

Expected number of jumps per year (lambda >= 0).

mean_jump: f64

Mean relative jump size E[J] = E[e^Y] - 1 > -1 (negative = downward jumps).

jump_vol: f64

Volatility of the log jump size (> 0).

Implementations

impl MertonJumps

pub fn validate(&self) -> Result<(), RustyQLibError>

Trait Implementations

impl Clone for MertonJumps

fn clone(&self) -> MertonJumps

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Copy for MertonJumps

impl Debug for MertonJumps

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

Formats the value using the given formatter.

impl<'de> Deserialize<'de> for MertonJumps

fn deserialize<__D>(__deserializer: __D) -> Result<Self, __D::Error>

where __D: Deserializer<'de>,

Deserialize this value from the given Serde deserializer.

impl Serialize for MertonJumps

fn serialize<__S>(&self, __serializer: __S) -> Result<__S::Ok, __S::Error>

where __S: Serializer,

Serialize this value into the given Serde serializer.