Struct BermudanOption 

pub struct BermudanOption {
    pub instrument: Instrument,
    pub strike: f64,
    pub time_to_maturity: f64,
    pub expiration_dates: Vec<f64>,
    pub option_type: OptionType,
}

A struct representing an Bermudan option.

Fields

instrument: Instrument

The underlying instrument.

strike: f64

Strike price of the option (aka exercise price).

time_to_maturity: f64

The time horizon (in years).

expiration_dates: Vec<f64>

The expiration dates of the option (in years).

option_type: OptionType

Type of the option (Call or Put).

Implementations

impl BermudanOption

pub fn new( instrument: Instrument, strike: f64, expiration_dates: Vec<f64>, option_type: OptionType, ) -> Self

Create a new BermudanOption.

Trait Implementations

impl Clone for BermudanOption

fn clone(&self) -> BermudanOption

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for BermudanOption

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

Formats the value using the given formatter.

impl Option for BermudanOption

fn instrument(&self) -> &Instrument

Get the underlying instrument of the option.

fn instrument_mut(&mut self) -> &mut Instrument

Get the underlying instrument of the option (mutable).

fn set_instrument(&mut self, instrument: Instrument)

Set the underlying instrument of the option.

fn strike(&self) -> f64

Get the strike price of the option.

fn time_to_maturity(&self) -> f64

Time horizon (in years).

fn expiration_dates(&self) -> Option<&Vec<f64>>

Get the expiration dates of the option.

fn set_time_to_maturity(&mut self, time_to_maturity: f64)

Set the time horizon (in years).

fn option_type(&self) -> OptionType

Get the type of the option.

fn style(&self) -> &OptionStyle

Get the style of the option.

fn flip(&self) -> Self

Flip the option type (Call to Put or Put to Call).

fn as_any(&self) -> &dyn Any

Get the option as a trait object.

fn payoff(&self, spot: Option<f64>) -> f64

Calculate the payoff of the option at maturity.

fn price<T: OptionPricing>(&self, model: T) -> f64

Calculate the price of the option.

fn time_value<T: OptionPricing>(&self, model: T) -> f64

Calculate the time value of the option.

fn as_call(&self) -> Self

Return the option as a call.

fn as_put(&self) -> Self

Return the option as a put.

fn is_call(&self) -> bool

Check if the option is a call.

fn is_put(&self) -> bool

Check if the option is a put.

fn atm(&self) -> bool

Check if the option is ATM

fn itm(&self) -> bool

Check if the option is ITM

fn otm(&self) -> bool

Check if the option is OTM