Struct ExoticParams 

pub struct ExoticParams {

    pub spot_prices: Option<Vec<Positive>>,
    pub spot_min: Option<Decimal>,
    pub spot_max: Option<Decimal>,
    pub cliquet_local_cap: Option<Decimal>,
    pub cliquet_local_floor: Option<Decimal>,
    pub cliquet_global_cap: Option<Decimal>,
    pub cliquet_global_floor: Option<Decimal>,
    pub rainbow_second_asset_price: Option<Positive>,
    pub rainbow_second_asset_volatility: Option<Positive>,
    pub rainbow_second_asset_dividend: Option<Positive>,
    pub rainbow_correlation: Option<Decimal>,
    pub spread_second_asset_volatility: Option<Positive>,
    pub spread_second_asset_dividend: Option<Positive>,
    pub spread_correlation: Option<Decimal>,
    pub quanto_fx_volatility: Option<Positive>,
    pub quanto_fx_correlation: Option<Decimal>,
    pub quanto_foreign_rate: Option<Decimal>,
    pub foreign_rate: Option<Decimal>,
    pub exchange_second_asset_volatility: Option<Positive>,
    pub exchange_second_asset_dividend: Option<Positive>,
    pub exchange_correlation: Option<Decimal>,
}

Parameters for exotic option pricing models.

This structure holds specific data required by various exotic option types such as Asian options (which depend on average prices) and Lookback options (which depend on minimum/maximum prices during the option’s lifetime).

Each field is optional since different exotic option types require different parameters.

Fields

spot_prices: Option<Vec<Positive>>

Historical spot prices, primarily used for Asian options which depend on the average price of the underlying asset.

spot_min: Option<Decimal>

Minimum observed spot price during the option’s lifetime, used for lookback option pricing.

spot_max: Option<Decimal>

Maximum observed spot price during the option’s lifetime, used for lookback option pricing.

cliquet_local_cap: Option<Decimal>

Local cap for Cliquet options, limiting the periodic return.

cliquet_local_floor: Option<Decimal>

Local floor for Cliquet options, limiting the periodic return.

cliquet_global_cap: Option<Decimal>

Global cap for Cliquet options, limiting the total return.

cliquet_global_floor: Option<Decimal>

Global floor for Cliquet options, limiting the total return.

rainbow_second_asset_price: Option<Positive>

Price of the second underlying asset for Rainbow options.

rainbow_second_asset_volatility: Option<Positive>

Volatility of the second underlying asset for Rainbow options.

rainbow_second_asset_dividend: Option<Positive>

Dividend yield of the second underlying asset for Rainbow options.

rainbow_correlation: Option<Decimal>

Correlation between the two underlying assets for Rainbow options. Must be between -1.0 and 1.0.

spread_second_asset_volatility: Option<Positive>

Volatility of the second underlying asset for Spread options.

spread_second_asset_dividend: Option<Positive>

Dividend yield of the second underlying asset for Spread options.

spread_correlation: Option<Decimal>

Correlation between the two underlying assets for Spread options. Must be between -1.0 and 1.0.

quanto_fx_volatility: Option<Positive>

Volatility of the exchange rate for Quanto options.

quanto_fx_correlation: Option<Decimal>

Correlation between the underlying asset and the exchange rate for Quanto options. Must be between -1.0 and 1.0.

quanto_foreign_rate: Option<Decimal>

Foreign risk-free interest rate for Quanto options.

foreign_rate: Option<Decimal>

Foreign risk-free interest rate r_f of a Garman–Kohlhagen FX option, per year, continuously compounded. Signed, so a negative foreign rate (CHF, JPY, EUR in parts of 2015–2022) is expressible, which Options::dividend_yield (a Positive) is not. When None, Garman–Kohlhagen falls back to Options::dividend_yield; when set, it takes precedence and dividend_yield is ignored by that model. Only the Garman–Kohlhagen pricer and Greeks read it; Quanto reads quanto_foreign_rate.

exchange_second_asset_volatility: Option<Positive>

Volatility of the second underlying asset for Exchange options.

exchange_second_asset_dividend: Option<Positive>

Dividend yield of the second underlying asset for Exchange options.

exchange_correlation: Option<Decimal>

Correlation between the two underlying assets for Exchange options. Must be between -1.0 and 1.0.

Trait Implementations

impl Clone for ExoticParams

fn clone(&self) -> Self

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl ComposeSchema for ExoticParams

fn compose(generics: Vec<RefOr<Schema>>) -> RefOr<Schema>

impl Debug for ExoticParams

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

Formats the value using the given formatter.

impl Default for ExoticParams

fn default() -> Self

Returns the “default value” for a type.

impl<'de> Deserialize<'de> for ExoticParams

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

where __D: Deserializer<'de>,

Deserialize this value from the given Serde deserializer.

impl Display for ExoticParams

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

Formats the value using the given formatter.

impl PartialEq for ExoticParams

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

Equality operator ==.

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

Inequality operator !=.

impl Serialize for ExoticParams

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 ExoticParams

impl ToSchema for ExoticParams

fn name() -> Cow<'static, str>

Return name of the schema.

fn schemas(schemas: &mut Vec<(String, RefOr<Schema>)>)

Implement reference utoipa::openapi::schema::Schemas for this type.