Struct quantmath::pricers::selfpricer::SelfPricer

pub struct SelfPricer { /* fields omitted */ }

The SelfPricer calculator uses the Priceable interface of an instrument to evaluate the instrument . It then exposes this interface as a Pricer, allowing bumping for risk calculation.

Methods

impl SelfPricer

pub fn new(     instruments: Vec<(f64, RcInstrument)>,     market_data: &MarketData ) -> Result<SelfPricer, Error>

Trait Implementations

impl Clone for SelfPricer

fn clone(&self) -> SelfPricer

Returns a copy of the value.

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

Performs copy-assignment from source.

impl Pricer for SelfPricer

fn as_bumpable(&self) -> &Bumpable

fn as_mut_bumpable(&mut self) -> &mut Bumpable

fn as_mut_time_bumpable(&mut self) -> &mut TimeBumpable

fn price(&self) -> Result<f64, Error>

Returns the present value. If no discount date is supplied, the value is discounted to the settlement date of the instrument being priced. This means that every listed instrument should give a price equal to the current screen price. If you supply a discount date, the value is discounted to that date. This allows you to view prices that are consistent across different exchanges, but it is not possible to choose a discount date such that all values equal their screen prices, unless all underlyings have the same settlement date.

impl PricerClone for SelfPricer

fn clone_box(&self) -> Box<Pricer>

impl Bumpable for SelfPricer

fn bump(     &mut self,     bump: &Bump,     save: Option<&mut Saveable> ) -> Result<bool, Error>

Applies a bump to market data or to anything derived from market data, such as a model or a pricer. Returns true if anything was bumped.

fn dependencies(&self) -> Result<&DependencyCollector, Error>

Optionally allows access to the dependencies that drive the bumpability.

fn context(&self) -> &PricingContext

Allows access to the pricing context that is to be bumped. This is useful for bumps that adjust their size according to the forward etc.

fn new_saveable(&self) -> Box<Saveable>

Creates a save area to use with this bump

fn restore(&mut self, saved: &Saveable) -> Result<(), Error>

Restores the state to what it was before the bump

impl TimeBumpable for SelfPricer

fn bump_time(&mut self, bump: &BumpTime) -> Result<(), Error>

Applies a time bump to this object. The object is modified with no save and restore facility, so you probably need to deep_clone the object first.