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VarianceSwapData

rustyqlib::equity::variance_swap

Struct VarianceSwapData

pub struct VarianceSwapData {Show 15 fields
    pub symbol: String,
    pub underlying_price: f64,
    pub strike_vol: f64,
    pub notional: f64,
    pub maturity: String,
    pub risk_free_rate: f64,
    pub dividend: Option<f64>,
    pub volatility: f64,
    pub vol_surface: Option<VolInput>,
    pub accrued_variance: Option<f64>,
    pub elapsed: Option<f64>,
    pub swap_type: Option<String>,
    pub corridor_low: Option<f64>,
    pub corridor_high: Option<f64>,
    pub valuation_date: Option<String>,
}

Expand description

JSON contract data ("product_type": "variance_swap").

Fields§

§symbol: String§underlying_price: f64§strike_vol: f64

Strike quoted in volatility units (0.20 = 20 vol); K_var = strike_vol^2.

§notional: f64

Variance notional (payout per unit of annualized variance).

§maturity: String

Maturity date, YYYY-MM-DD.

§risk_free_rate: f64§dividend: Option<f64>§volatility: f64

Flat implied vol, used when no surface is given.

§vol_surface: Option<VolInput>

Optional smile/surface: the fair strike integrates over it.

§accrued_variance: Option<f64>

Seasoned swaps: annualized variance realized so far.

§elapsed: Option<f64>

Seasoned swaps: elapsed observation time in years.

§swap_type: Option<String>

“variance” (default) | “gamma” | “corridor”.

§corridor_low: Option<f64>

Corridor bounds (corridor swaps only; either may be omitted for a one-sided corridor).

§corridor_high: Option<f64>§valuation_date: Option<String>

Pricing as-of date (YYYY-MM-DD); defaults to today.

Trait Implementations§

impl Clone for VarianceSwapData

fn clone(&self) -> VarianceSwapData

Returns a duplicate of the value. Read more

1.0.0 (const: unstable) · Source§

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

Performs copy-assignment from source. Read more

impl Debug for VarianceSwapData

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

Formats the value using the given formatter. Read more

impl<'de> Deserialize<'de> for VarianceSwapData

fn deserialize<D>(deserializer: D) -> Result<Self, D::Error>
where __D: Deserializer<'de>,

Deserialize this value from the given Serde deserializer. Read more

impl Serialize for VarianceSwapData

fn serialize<S>(&self, serializer: S) -> Result<S::Ok, S::Error>
where S: Serializer,

Serialize this value into the given Serde serializer. Read more

Auto Trait Implementations§

impl Freeze for VarianceSwapData

impl RefUnwindSafe for VarianceSwapData

impl Send for VarianceSwapData

impl Sync for VarianceSwapData

impl Unpin for VarianceSwapData

impl UnsafeUnpin for VarianceSwapData

impl UnwindSafe for VarianceSwapData

Blanket Implementations§

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

fn type_id(&self) -> TypeId

Gets the TypeId of self. Read more

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

fn borrow(&self) -> &T

Immutably borrows from an owned value. Read more

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

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

Mutably borrows from an owned value. Read more

impl<T> CloneToUninit for T
where T: Clone,

unsafe fn clone_to_uninit(&self, dest: *mut u8)

🔬This is a nightly-only experimental API. (clone_to_uninit)

Performs copy-assignment from self to dest. Read more

impl<T> DeserializeOwned for T
where T: for<'de> Deserialize<'de>,

impl<T> From<T> for T

fn from(t: T) -> T

Returns the argument unchanged.

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

fn into(self) -> U

Calls U::from(self).

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

impl<T> Pointable for T

const ALIGN: usize

The alignment of pointer.

type Init = T

The type for initializers.

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

Initializes a with the given initializer. Read more

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

Dereferences the given pointer. Read more

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

Mutably dereferences the given pointer. Read more

unsafe fn drop(ptr: usize)

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

impl<T> ToOwned for T
where T: Clone,

type Owned = T

The resulting type after obtaining ownership.

fn to_owned(&self) -> T

Creates owned data from borrowed data, usually by cloning. Read more

fn clone_into(&self, target: &mut T)

Uses borrowed data to replace owned data, usually by cloning. Read more

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

type Error = Infallible

The type returned in the event of a conversion error.

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

Performs the conversion.

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

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

The type returned in the event of a conversion error.

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

Performs the conversion.

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

fn vzip(self) -> V