Struct LocalVol

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pub struct LocalVol<'a> { /* private fields */ }

Expand description

Local volatility function sigma_loc(level, t), frozen at construction from an implied surface, a discount curve (for forwards) and a dividend yield.

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impl<'a> LocalVol<'a>

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pub fn new( surface: &'a VolSurface, curve: &'a YieldCurve, spot: f64, dividend_yield: f64, vol_shift: f64, ) -> Self

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

Local volatility at underlying level level and time t.

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impl<'a> UnwindSafe for LocalVol<'a>

Blanket Implementations§

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impl<T> Any for T
where T: 'static + ?Sized,

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fn type_id(&self) -> TypeId

Gets the TypeId of self. Read more

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impl<T> Borrow<T> for T
where T: ?Sized,

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fn borrow(&self) -> &T

Immutably borrows from an owned value. Read more

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impl<T> BorrowMut<T> for T
where T: ?Sized,

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fn borrow_mut(&mut self) -> &mut T

Mutably borrows from an owned value. Read more

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impl<T> From<T> for T

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fn from(t: T) -> T

Returns the argument unchanged.

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impl<T, U> Into for T
where U: From<T>,

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fn into(self) -> U

Calls U::from(self).

That is, this conversion is whatever the implementation of From<T> for U chooses to do.

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impl<T> Pointable for T

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const ALIGN: usize

The alignment of pointer.

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type Init = T

The type for initializers.

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unsafe fn init(init: <T as Pointable>::Init) -> usize

Initializes a with the given initializer. Read more

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unsafe fn deref<'a>(ptr: usize) -> &'a T

Dereferences the given pointer. Read more

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unsafe fn deref_mut<'a>(ptr: usize) -> &'a mut T

Mutably dereferences the given pointer. Read more

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unsafe fn drop(ptr: usize)

Drops the object pointed to by the given pointer. Read more

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impl<T, U> TryFrom for T
where U: Into<T>,

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type Error = Infallible

The type returned in the event of a conversion error.

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fn try_from(value: U) -> Result<T, <T as TryFrom>::Error>

Performs the conversion.

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impl<T, U> TryInto for T
where U: TryFrom<T>,

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type Error = >::Error

The type returned in the event of a conversion error.

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fn try_into(self) -> Result<U, >::Error>

Performs the conversion.

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impl<V, T> VZip<V> for T
where V: MultiLane<T>,

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LocalVol

Struct LocalVol

Implementations§

impl<'a> LocalVol<'a>

pub fn new( surface: &'a VolSurface, curve: &'a YieldCurve, spot: f64, dividend_yield: f64, vol_shift: f64, ) -> Self

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

Auto Trait Implementations§

impl<'a> Freeze for LocalVol<'a>

impl<'a> RefUnwindSafe for LocalVol<'a>

impl<'a> Send for LocalVol<'a>

impl<'a> Sync for LocalVol<'a>

impl<'a> Unpin for LocalVol<'a>

impl<'a> UnsafeUnpin for LocalVol<'a>

impl<'a> UnwindSafe for LocalVol<'a>

Blanket Implementations§

impl<T> Any for T
where T: 'static + ?Sized,

fn type_id(&self) -> TypeId

impl<T> Borrow<T> for T
where T: ?Sized,

fn borrow(&self) -> &T

impl<T> BorrowMut<T> for T
where T: ?Sized,

fn borrow_mut(&mut self) -> &mut T

impl<T> From<T> for T

fn from(t: T) -> T

impl<T, U> Into<U> for T
where U: From<T>,

fn into(self) -> U

impl<T> Pointable for T

const ALIGN: usize

type Init = T

unsafe fn init(init: <T as Pointable>::Init) -> usize

unsafe fn deref<'a>(ptr: usize) -> &'a T

unsafe fn deref_mut<'a>(ptr: usize) -> &'a mut T

unsafe fn drop(ptr: usize)

impl<T, U> TryFrom<U> for T
where U: Into<T>,

type Error = Infallible

fn try_from(value: U) -> Result<T, <T as TryFrom<U>>::Error>

impl<T, U> TryInto<U> for T
where U: TryFrom<T>,

type Error = <U as TryFrom<T>>::Error

fn try_into(self) -> Result<U, <U as TryFrom<T>>::Error>

impl<V, T> VZip<V> for T
where V: MultiLane<T>,

fn vzip(self) -> V

LocalVol

Struct LocalVol Copy item path

Implementations§

impl<'a> LocalVol<'a>

pub fn new( surface: &'a VolSurface, curve: &'a YieldCurve, spot: f64, dividend_yield: f64, vol_shift: f64, ) -> Self

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

Auto Trait Implementations§

impl<'a> Freeze for LocalVol<'a>

impl<'a> RefUnwindSafe for LocalVol<'a>

impl<'a> Send for LocalVol<'a>

impl<'a> Sync for LocalVol<'a>

impl<'a> Unpin for LocalVol<'a>

impl<'a> UnsafeUnpin for LocalVol<'a>

impl<'a> UnwindSafe for LocalVol<'a>

Blanket Implementations§

impl<T> Any for Twhere T: 'static + ?Sized,

fn type_id(&self) -> TypeId

impl<T> Borrow<T> for Twhere T: ?Sized,

fn borrow(&self) -> &T

impl<T> BorrowMut<T> for Twhere T: ?Sized,

fn borrow_mut(&mut self) -> &mut T

impl<T> From<T> for T

fn from(t: T) -> T

impl<T, U> Into<U> for Twhere U: From<T>,

fn into(self) -> U

impl<T> Pointable for T

const ALIGN: usize

type Init = T

unsafe fn init(init: <T as Pointable>::Init) -> usize

unsafe fn deref<'a>(ptr: usize) -> &'a T

unsafe fn deref_mut<'a>(ptr: usize) -> &'a mut T

unsafe fn drop(ptr: usize)

impl<T, U> TryFrom<U> for Twhere U: Into<T>,

type Error = Infallible

fn try_from(value: U) -> Result<T, <T as TryFrom<U>>::Error>

impl<T, U> TryInto<U> for Twhere U: TryFrom<T>,

type Error = <U as TryFrom<T>>::Error

fn try_into(self) -> Result<U, <U as TryFrom<T>>::Error>

impl<V, T> VZip<V> for Twhere V: MultiLane<T>,

fn vzip(self) -> V

Struct LocalVol

impl<T> Any for T
where T: 'static + ?Sized,

impl<T> Borrow<T> for T
where T: ?Sized,

impl<T> BorrowMut<T> for T
where T: ?Sized,

impl<T, U> Into<U> for T
where U: From<T>,

impl<T, U> TryFrom<U> for T
where U: Into<T>,

impl<T, U> TryInto<U> for T
where U: TryFrom<T>,

impl<V, T> VZip<V> for T
where V: MultiLane<T>,