Struct AutocallablePayoff 

pub struct AutocallablePayoff {
    pub exercise_style: ContractStyle,
    pub autocall_barrier: f64,
    pub protection_barrier: f64,
    pub coupon: f64,
    pub observations: usize,
    pub observation_times: Option<Vec<f64>>,
    pub notional: f64,
    pub initial_fixing: f64,
    pub coupon_barrier: Option<f64>,
    pub memory: bool,
}

Fields

exercise_style: ContractStyle

autocall_barrier: f64

Early-redemption trigger level (absolute).

protection_barrier: f64

Knock-in barrier for the capital protection (absolute).

coupon: f64

Coupon (rebate) accrued per observation period, paid at call.

observations: usize

Number of observations over the life (last = expiry). Equally spaced unless observation_times is set.

observation_times: Option<Vec<f64>>

Explicit observation times as year fractions from valuation, strictly increasing, last at expiry — e.g. from a Schedule of business-day adjusted call dates. None keeps equal spacing.

notional: f64

initial_fixing: f64

Contractual initial fixing for the downside participation ratio.

coupon_barrier: Option<f64>

Phoenix feature: when set, the coupon is paid at each observation with S >= coupon_barrier (independently of the autocall), instead of accruing as a rebate paid only at call.

memory: bool

Phoenix memory feature: missed coupons are recovered at the next observation above the coupon barrier.

Implementations

impl AutocallablePayoff

pub fn path_value(&self, path: &[f64], obs_idx: &[usize], dfs: &[f64]) -> f64

Value of one simulated path: redemption cash flow times the discount factor of its payment date. obs_idx maps observation m to its path step; dfs[m] is the discount factor to that date.

Trait Implementations

impl Clone for AutocallablePayoff

fn clone(&self) -> AutocallablePayoff

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for AutocallablePayoff

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

Formats the value using the given formatter.

impl Payoff for AutocallablePayoff

fn payoff(&self, _spot: f64, _strike: f64) -> f64

Degenerate single-point value: zero (all value is path- and schedule-dependent).

fn path_payoff(&self, _path: &[f64], _strike: f64) -> f64

Payoff for a full simulated path (used by Monte Carlo). Terminal payoffs default to the last point; Asian/Barrier override this. The path excludes the initial spot (it starts at the first step).

fn is_path_dependent(&self) -> bool

True when the payoff depends on the whole path (Asian, Barrier), so engines must simulate paths rather than terminal values.

fn payoff_kind(&self) -> PayoffType

fn put_or_call(&self) -> &PutOrCall

fn exercise_style(&self) -> &ContractStyle

fn as_any(&self) -> &dyn Any

Downcast hook so pricers that need payoff-specific details (e.g. the analytic pricer distinguishing cash- from asset-or-nothing binaries) can recover the concrete payoff type.

fn clone_box(&self) -> Box<dyn Payoff>

Clone through the trait object, so instruments holding a Box<dyn Payoff> are cloneable (repricing a contract under another market clones the instrument). Implementors write Box::new(self.clone()).

fn payoff_amount(&self, spot: f64, strike: f64) -> f64

Intrinsic value at the given spot (the option’s current market spot at its contract strike).

fn path_payoff_var<'t>( &self, _path: &[Var<'t>], _strike: f64, ) -> Option<Var<'t>>

Path payoff in AAD arithmetic — the mirror of path_payoff over tape variables, used by the adjoint Monte Carlo Greeks (montecarlo::aad_greeks). None (the default) opts a payoff out: discontinuous payoffs (barrier, binary, autocallable) must stay out, because the almost-everywhere derivative of an indicator is zero — their Greeks come from the bump stencils instead.