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Ssvi

rustyqlib::equity::svi

Struct Ssvi

pub struct Ssvi {
    pub rho: f64,
    pub eta: f64,
    pub gamma: f64,
    pub theta_pillars: Vec<(f64, f64)>,
}

Expand description

SSVI surface: ATM total-variance pillars plus global (rho, eta, gamma) with the power-law curvature.

Fields§

§rho: f64§eta: f64§gamma: f64

Power-law exponent in (0, 1].

§theta_pillars: Vec<(f64, f64)>

(t, theta_t) pillars, t and theta strictly increasing.

Implementations§

impl Ssvi

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

ATM total variance at t: proportional below the first pillar (variance accrues from zero), linear between pillars, and continued with the last segment’s slope beyond.

pub fn phi(&self, theta: f64) -> f64

Power-law curvature phi(theta).

pub fn total_variance(&self, k: f64, t: f64) -> f64

Total variance w(k, t).

pub fn vol(&self, strike: f64, forward: f64, t: f64) -> f64

Implied vol for strike given the forward at expiry t.

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

Static no-arbitrage checks (Gatheral-Jacquier): admissible parameters, nondecreasing theta (calendar), the power-law sufficient condition eta (1 + |rho|) <= 2, and the per-pillar butterfly bounds theta phi (1 + |rho|) <= 4 and theta phi^2 (1 + |rho|) <= 4.

pub fn calibrate( quotes: &[(f64, f64, f64)], theta_pillars: &[(f64, f64)], start: (f64, f64, f64), ) -> SsviFit

Calibrate (rho, eta, gamma) to surface quotes (t, k, vol) given the ATM total-variance pillars, by Levenberg-Marquardt on total-variance residuals (tanh / exp / logistic transforms keep every trial admissible).

pub fn to_vol_surface( &self, reference_date: NaiveDate, day_count: DayCountConvention, expiry_forwards: &[(f64, f64)], log_moneyness_grid: &[f64], ) -> Result<VolSurface, VolError>

Sample the SSVI surface into the canonical pricing VolSurface: per expiry (t, forward), strikes are placed at forward * exp(k) over the log-moneyness grid.

Trait Implementations§

impl Clone for Ssvi

fn clone(&self) -> Ssvi

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 Ssvi

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

Formats the value using the given formatter. Read more

Auto Trait Implementations§

impl Freeze for Ssvi

impl RefUnwindSafe for Ssvi

impl Send for Ssvi

impl Sync for Ssvi

impl Unpin for Ssvi

impl UnsafeUnpin for Ssvi

impl UnwindSafe for Ssvi

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> 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