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Slv

rustyqlib::equity::slv

Struct Slv 

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pub struct Slv<'a> {
    pub heston: HestonParams,
    pub cond_var: ConditionalVariance,
    /* private fields */
}
Expand description

A calibrated SLV model (borrows the Dupire local vol it was built on).

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§heston: HestonParams§cond_var: ConditionalVariance

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impl<'a> Slv<'a>

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pub fn leverage(&self, s: f64, t: f64) -> f64

Leverage L(s, t) = sigma_LV(s, t) / sqrt(E[v_t | S_t = s]).

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pub fn price_vanilla( &self, strike: f64, t: f64, put_or_call: PutOrCall, paths: usize, seed: u64, ) -> f64

Price a European vanilla by simulating the calibrated dynamics (same step size as the calibration, deterministic per seed).

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impl<'a> Freeze for Slv<'a>

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impl<'a> RefUnwindSafe for Slv<'a>

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impl<'a> Send for Slv<'a>

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impl<'a> Sync for Slv<'a>

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impl<'a> Unpin for Slv<'a>

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impl<'a> UnsafeUnpin for Slv<'a>

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impl<'a> UnwindSafe for Slv<'a>

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

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fn type_id(&self) -> TypeId

Gets the TypeId of self. Read more
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impl<T> Borrow<T> for T
where T: ?Sized,

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fn borrow(&self) -> &T

Immutably borrows from an owned value. Read more
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impl<T> BorrowMut<T> for T
where T: ?Sized,

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

Mutably borrows from an owned value. Read more
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impl<T> From<T> for T

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fn from(t: T) -> T

Returns the argument unchanged.

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

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fn into(self) -> U

Calls U::from(self).

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

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impl<T> Pointable for T

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const ALIGN: usize

The alignment of pointer.
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type Init = T

The type for initializers.
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unsafe fn init(init: <T as Pointable>::Init) -> usize

Initializes a with the given initializer. Read more
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unsafe fn deref<'a>(ptr: usize) -> &'a T

Dereferences the given pointer. Read more
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unsafe fn deref_mut<'a>(ptr: usize) -> &'a mut T

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unsafe fn drop(ptr: usize)

Drops the object pointed to by the given pointer. Read more
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impl<T, U> TryFrom<U> for T
where U: Into<T>,

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type Error = Infallible

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

Performs the conversion.
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impl<T, U> TryInto<U> for T
where U: TryFrom<T>,

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

The type returned in the event of a conversion error.
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fn try_into(self) -> Result<U, <U as TryFrom<T>>::Error>

Performs the conversion.
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impl<V, T> VZip<V> for T
where V: MultiLane<T>,

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fn vzip(self) -> V