Struct SviParams 

pub struct SviParams {
    pub a: f64,
    pub b: f64,
    pub rho: f64,
    pub m: f64,
    pub sigma: f64,
}

Raw SVI parameters for a single expiry.

Fields

a: f64

b: f64

rho: f64

m: f64

sigma: f64

Implementations

impl SviParams

pub fn total_variance(&self, k: f64) -> f64

Total variance w(k) at log-moneyness k = ln(K/F).

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

Implied vol at log-moneyness k for expiry t.

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

Static parameter constraints: b >= 0, |rho| < 1, sigma > 0 and non-negative minimum variance a + b sigma sqrt(1 - rho^2).

pub fn butterfly_g(&self, k: f64) -> f64

The Gatheral-Jacquier butterfly function g(k) = (1 - k w'/(2w))^2 - (w'^2/4)(1/w + 1/4) + w''/2, which must stay non-negative for an arbitrage-free density.

pub fn min_butterfly_g(&self) -> f64

Minimum of g(k) over a wide log-moneyness scan; negative means the smile carries butterfly arbitrage.

pub fn has_butterfly_arbitrage(&self) -> bool

pub fn calibrate(quotes: &[(f64, f64)], t: f64) -> SviFit

Calibrate to one expiry’s quotes (k, implied vol) by Levenberg-Marquardt on total-variance residuals, with b and sigma in log space and rho through tanh so every trial is admissible.

Trait Implementations

impl Clone for SviParams

fn clone(&self) -> SviParams

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Copy for SviParams

impl Debug for SviParams

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

Formats the value using the given formatter.

impl PartialEq for SviParams

fn eq(&self, other: &SviParams) -> bool

Equality operator ==.

fn ne(&self, other: &Rhs) -> bool

Inequality operator !=.

impl StructuralPartialEq for SviParams