Struct Cliquet 

pub struct Cliquet {

    pub resets: usize,
    pub t: f64,
    pub r: f64,
    pub q: f64,
    pub sigma: f64,
    pub local_floor: f64,
    pub local_cap: Option<f64>,
    pub global_floor: Option<f64>,
    pub global_cap: Option<f64>,
    pub notional: f64,
    pub heston: Option<HestonParams>,
    pub style: CliquetStyle,
    pub pricer: CliquetPricer,
    pub paths: usize,
    pub seed: u64,
}

A cliquet/ratchet option on equally-spaced resets.

Fields

resets: usize

t: f64

Year fraction to maturity.

r: f64

q: f64

sigma: f64

local_floor: f64

local_cap: Option<f64>

global_floor: Option<f64>

global_cap: Option<f64>

notional: f64

heston: Option<HestonParams>

style: CliquetStyle

pricer: CliquetPricer

paths: usize

seed: u64

Implementations

impl Cliquet

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

Black-Scholes closed form: each period’s clamped return is a forward-start call spread on the lognormal period ratio, and the periods are independent, so the sum prices term by term. Errs when a global cap/floor is present (it couples the periods) or Heston dynamics are requested.

pub fn mc_npv(&self) -> (f64, f64)

Monte Carlo price with standard error: per-period lognormal sampling under GBM, full Euler paths under Heston. Deterministic per seed.

pub fn from_json(data: &CliquetOptionData) -> Box<Cliquet>

Price with the configured engine (analytic falls back to Monte Carlo when global constraints or Heston dynamics require it). Build from contract data, panicking on any invalid field. Fallible callers should use Cliquet::try_from_json.

pub fn try_from_json( data: &CliquetOptionData, ) -> Result<Box<Cliquet>, RustyQLibError>

Trait Implementations

impl Clone for Cliquet

fn clone(&self) -> Cliquet

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for Cliquet

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

Formats the value using the given formatter.

impl Instrument for Cliquet

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

Analytic where the payoff permits (falling back to Monte Carlo otherwise, mirroring the documented pricing policy); the standard error is reported whenever a simulation produced the value.

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.