Struct FlatSmileSection 

pub struct FlatSmileSection { /* private fields */ }

A SmileSection with one volatility for every strike.

Implementations

impl FlatSmileSection

pub fn with_reference_date( exercise_date: Date, vol: Volatility, day_counter: DayCounter, reference_date: Date, atm_level: Option<Rate>, volatility_type: VolatilityType, shift: Rate, ) -> QlResult<FlatSmileSection>

Flat section anchored to a fixed reference date (C++’s Date constructor).

Errors

Propagates SmileSectionBase::with_reference_date.

pub fn with_exercise_time( exercise_time: Time, vol: Volatility, day_counter: DayCounter, atm_level: Option<Rate>, volatility_type: VolatilityType, shift: Rate, ) -> QlResult<FlatSmileSection>

Flat section built from an exercise time (C++’s Time constructor).

Errors

Propagates SmileSectionBase::with_exercise_time.

Trait Implementations

impl Clone for FlatSmileSection

fn clone(&self) -> FlatSmileSection

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for FlatSmileSection

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

Formats the value using the given formatter.

impl SmileSection for FlatSmileSection

fn base(&self) -> &SmileSectionBase

The shared state holder.

fn volatility_impl(&self, _strike: Rate) -> QlResult<Volatility>

Volatility at strike; the caller owns any range checking.

fn min_strike(&self) -> Rate

The lowest strike the section can quote.

fn max_strike(&self) -> Rate

The highest strike the section can quote.

fn atm_level(&self) -> Option<Rate>

The at-the-money level, or None when the section provides none.

fn volatility(&self, strike: Rate) -> QlResult<Volatility>

Volatility at strike.

fn variance(&self, strike: Rate) -> QlResult<Real>

Black variance at strike: volatility^2 * exercise_time (C++’s varianceImpl).

fn exercise_time(&self) -> Time

The exercise time this section was built for.

fn day_counter(&self) -> DayCounter

The day counter used to turn dates into times.

fn volatility_type(&self) -> VolatilityType

The volatility model this section is quoted against.

fn shift(&self) -> Rate

The lognormal shift applied to strike and forward.

fn reference_date(&self) -> QlResult<Date>

The reference date the section is anchored to.

fn option_price( &self, strike: Rate, option_type: OptionType, discount: Real, ) -> QlResult<Real>

Undiscounted-times-discount price of a European option struck at strike, priced through the section’s volatility model.