Struct QuadraticRoughHestonKernel 

pub struct QuadraticRoughHestonKernel { /* private fields */ }

The factor weights and discounts of the geometric partition of the fractional kernel.

With eta_i = x^(i - n/2) for i = 1..=n, the measure mu(dg) = g^(-alpha) dg / (Gamma(alpha) Gamma(1 - alpha)) is lumped on each [eta_(i-1), eta_i] into one atom, whose mass is the weight and whose mean is the discount:

c_i     = x^((1-alpha)(i-n/2)) (1 - x^(alpha-1)) / ((1-alpha) Gamma(alpha) Gamma(1-alpha))
gamma_i = (1-alpha) x^(i-1-n/2) (x^(2-alpha) - 1) / ((2-alpha) (x^(1-alpha) - 1))

value_at is K^n(t) = sum c_i exp(-gamma_i t), which approximates K(t) = t^(alpha-1) / Gamma(alpha) on a range of t set by n and x. The ratio that suits a given n is the caller’s choice: there is no default.

Implementations

impl QuadraticRoughHestonKernel

pub fn try_new( alpha: Decimal, factors: usize, ratio: Decimal, ) -> Result<Self, QuadraticRoughHestonError>

Builds the kernel of factors factors from alpha and the geometric ratio.

Errors

• QuadraticRoughHestonError::AlphaOutOfRange when alpha is outside (1/2, 1).
• QuadraticRoughHestonError::NoFactors when factors is zero.
• QuadraticRoughHestonError::RatioNotAboveOne when ratio is at most one.
• QuadraticRoughHestonError::KernelOutOfRange when a weight or a discount has no positive value in a Decimal.
• QuadraticRoughHestonError::BufferTooLarge when factors cannot be allocated.
• QuadraticRoughHestonError::Decimal when an input has no f64 value.

pub fn alpha(&self) -> Decimal

The roughness exponent alpha, in (1/2, 1).

pub fn ratio(&self) -> Decimal

The geometric ratio x_n of the partition.

pub fn factors(&self) -> usize

The number of factors n.

pub fn weights(&self) -> &[Decimal]

The weights c_i, from i = 1 to n, rounded to a Decimal.

pub fn discounts(&self) -> &[Decimal]

The discounts gamma_i, per year, from i = 1 to n, rounded to a Decimal.

pub fn value_at( &self, t: Positive, ) -> Result<Decimal, QuadraticRoughHestonError>

The approximated kernel K^n(t) = sum c_i exp(-gamma_i t) at t years.

Errors

Returns QuadraticRoughHestonError::Decimal when t has no f64 value or the result does not fit a Decimal.

Trait Implementations

impl Clone for QuadraticRoughHestonKernel

fn clone(&self) -> Self

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for QuadraticRoughHestonKernel

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

Formats the value using the given formatter.

impl PartialEq for QuadraticRoughHestonKernel

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

Equality operator ==.

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

Inequality operator !=.

impl StructuralPartialEq for QuadraticRoughHestonKernel