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VarianceSwap

rustyqlib::equity::variance_swap

Struct VarianceSwap

pub struct VarianceSwap {
    pub notional: f64,
    pub strike_variance: f64,
    pub t_remaining: f64,
    pub r: f64,
    pub fair_remaining_variance: f64,
    pub accrued: Option<(f64, f64)>,
}

Expand description

A (possibly seasoned) variance swap.

Fields§

§notional: f64

Variance notional.

§strike_variance: f64

Strike in variance units.

§t_remaining: f64

Remaining time to maturity (years).

§r: f64§fair_remaining_variance: f64

Fair strike of the remaining variance (annualized).

§accrued: Option<(f64, f64)>

(elapsed years, annualized variance realized over them).

Implementations§

impl VarianceSwap

pub fn expected_total_variance(&self) -> f64

Expected total-period annualized variance: the time-weighted blend of what has been realized and the fair value of the rest.

pub fn mtm(&self) -> f64

Mark-to-market: discounted expected payoff.

pub fn from_json(data: &VarianceSwapData) -> Box<VarianceSwap>

Build from contract data, panicking on any invalid field. Fallible callers should use VarianceSwap::try_from_json.

pub fn try_from_json( data: &VarianceSwapData, ) -> Result<Box<VarianceSwap>, RustyQLibError>

Trait Implementations§

impl Clone for VarianceSwap

fn clone(&self) -> VarianceSwap

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 VarianceSwap

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

Formats the value using the given formatter. Read more

impl Instrument for VarianceSwap

fn try_npv(&self) -> Result<f64, RustyQLibError>

Present value, or a typed error when the instrument cannot be priced (invalid inputs, or an engine/product combination the library refuses to price).

fn npv(&self) -> f64

Present value, panicking on any pricing error. Convenience for instruments already known to be valid; fallible callers (batch pricing, services) should use Instrument::try_npv.

fn price(&self) -> Result<PricingResult, RustyQLibError>

Price the instrument once, returning value, Greeks and (for Monte Carlo engines) the standard error together in a PricingResult. Read more

Auto Trait Implementations§

impl Freeze for VarianceSwap

impl RefUnwindSafe for VarianceSwap

impl Send for VarianceSwap

impl Sync for VarianceSwap

impl Unpin for VarianceSwap

impl UnsafeUnpin for VarianceSwap

impl UnwindSafe for VarianceSwap

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