Struct VolSurfaceConfig 

#[non_exhaustive]
pub struct VolSurfaceConfig {
    pub min_usable_strikes: usize,
    pub good_strike_count: usize,
    pub max_iv_spread_filter: f64,
}

Available on crate feature vol-surface only.

Configuration for vol-surface construction.

Controls quality filtering and tier thresholds when building a VolSmile from raw observations. Construct via VolSurfaceConfig::default for sensible defaults, or via VolSurfaceConfig::builder for selective overrides:

use black_76::vol_surface::VolSurfaceConfig;

let config = VolSurfaceConfig::builder()
    .min_usable_strikes(2)
    .good_strike_count(7)
    .max_iv_spread_filter(0.30)
    .build();
assert_eq!(config.min_usable_strikes, 2);

New fields may be added in future minor versions.

Fields (Non-exhaustive)

Non-exhaustive structs could have additional fields added in future. Therefore, non-exhaustive structs cannot be constructed in external crates using the traditional Struct { .. } syntax; cannot be matched against without a wildcard ..; and struct update syntax will not work.

min_usable_strikes: usize

Minimum usable strikes per expiry to interpolate (below this, falls back to flat ATM vol).

good_strike_count: usize

Strike count at or above which the smile is rated SmileQuality::Good.

max_iv_spread_filter: f64

Maximum IV bid-ask spread to retain a strike. Strikes with wider spread are excluded from the smile.

Implementations

impl VolSurfaceConfig

pub fn builder() -> VolSurfaceConfigBuilder

Returns a fresh builder seeded with the default config.

Trait Implementations

impl Clone for VolSurfaceConfig

fn clone(&self) -> VolSurfaceConfig

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for VolSurfaceConfig

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

Formats the value using the given formatter.

impl Default for VolSurfaceConfig

fn default() -> Self

Returns the “default value” for a type.

impl<'de> Deserialize<'de> for VolSurfaceConfig

where VolSurfaceConfig: Default,

fn deserialize<__D>(__deserializer: __D) -> Result<Self, __D::Error>

where __D: Deserializer<'de>,

Deserialize this value from the given Serde deserializer.

impl PartialEq for VolSurfaceConfig

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

Tests for self and other values to be equal, and is used by ==.

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

Tests for !=. The default implementation is almost always sufficient, and should not be overridden without very good reason.

impl Serialize for VolSurfaceConfig

fn serialize<__S>(&self, __serializer: __S) -> Result<__S::Ok, __S::Error>

where __S: Serializer,

Serialize this value into the given Serde serializer.

impl StructuralPartialEq for VolSurfaceConfig