Struct WorstOfAutocallable 

pub struct WorstOfAutocallable {
    pub symbol: String,
    pub spots: Vec<f64>,
    pub vols: Vec<f64>,
    pub dividends: Vec<f64>,
    pub correlations: Vec<Vec<f64>>,
    pub payoff: AutocallablePayoff,
    pub maturity_date: NaiveDate,
    pub valuation_date: NaiveDate,
    pub discount_curve: YieldCurve,
    pub mc: MonteCarloConfig,
    /* private fields */
}

Autocallable note on the worst-of performance of a correlated basket.

Fields

symbol: String

spots: Vec<f64>

Current spots — also the contractual initial fixings that normalize the worst-of performance (the note is assumed priced from inception levels; Greek bumps move the market spot, never the fixing).

vols: Vec<f64>

dividends: Vec<f64>

correlations: Vec<Vec<f64>>

payoff: AutocallablePayoff

Redemption logic; its barriers are worst-of performance levels in initial_fixing units (e.g. fixing 100, autocall 100 = 100% of initial, protection 70 = 70% of initial).

maturity_date: NaiveDate

valuation_date: NaiveDate

discount_curve: YieldCurve

mc: MonteCarloConfig

Implementations

impl WorstOfAutocallable

pub fn new( symbol: &str, spots: Vec<f64>, vols: Vec<f64>, dividends: Vec<f64>, correlations: Vec<Vec<f64>>, payoff: AutocallablePayoff, maturity_date: NaiveDate, valuation_date: NaiveDate, discount_curve: YieldCurve, mc: MonteCarloConfig, ) -> Result<Self, RustyQLibError>

Validate and construct: dimensions must agree, and a correlation matrix that fails PSD is repaired with Higham’s projection (an asymmetric or non-unit-diagonal matrix is a data error and still rejected).

pub fn time_to_maturity(&self) -> f64

pub fn npv_with_stats(&self) -> McStats

pub fn deltas(&self) -> Vec<f64>

Per-asset spot deltas (central bumps, common random numbers).

pub fn vegas(&self) -> Vec<f64>

Per-asset vegas (central bumps of each asset’s vol).

pub fn theta(&self) -> f64

pub fn rho(&self) -> f64

Trait Implementations

impl Instrument for WorstOfAutocallable

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

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

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.