Struct RainbowOption 

pub struct RainbowOption {

    pub symbol: String,
    pub rainbow_type: RainbowType,
    pub put_or_call: PutOrCall,
    pub spots: Vec<f64>,
    pub vols: Vec<f64>,
    pub dividends: Vec<f64>,
    pub correlations: Vec<Vec<f64>>,
    pub strike_price: f64,
    pub weights: Vec<f64>,
    pub maturity_date: NaiveDate,
    pub valuation_date: NaiveDate,
    pub discount_curve: YieldCurve,
    pub engine: PricingEngine,
    /* private fields */
}

Fields

symbol: String

rainbow_type: RainbowType

put_or_call: PutOrCall

spots: Vec<f64>

vols: Vec<f64>

dividends: Vec<f64>

correlations: Vec<Vec<f64>>

strike_price: f64

weights: Vec<f64>

maturity_date: NaiveDate

valuation_date: NaiveDate

discount_curve: YieldCurve

engine: PricingEngine

The numerical method with its settings. Rainbow payoffs price on the analytic engine (Margrabe / Kirk / moment matching) or Monte Carlo (terminal correlated GBM: paths, sampler and seed from the config; time_steps/scheme do not apply).

Implementations

impl RainbowOption

pub fn from_json(data: &RainbowOptionData) -> Box<RainbowOption>

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

pub fn try_from_json( data: &RainbowOptionData, ) -> Result<Box<RainbowOption>, RustyQLibError>

pub fn time_to_maturity(&self) -> f64

pub fn npv_with_stats(&self) -> Option<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 Debug for RainbowOption

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

Formats the value using the given formatter.

impl Instrument for RainbowOption

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

Value, scalar theta/rho and (under Monte Carlo) the standard error. Spot Greeks are per-asset for rainbows — see RainbowOption::deltas and RainbowOption::vegas — so the scalar delta/gamma/vega slots stay zero.

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.