Enum ParamError 

pub enum ParamError {
    NegativeSlope {
        b: f64,
    },
    CorrelationOutOfRange {
        rho: f64,
    },
    NonPositiveSigma {
        sigma: f64,
    },
    NegativeMinVariance {
        w_min: f64,
    },
    NonPositiveMaturity {
        t: f64,
    },
    NegativeWeight {
        weight: f64,
    },
    NegativeTotalVariance {
        w: f64,
    },
    InvalidPhiParameter {
        name: &'static str,
        value: f64,
    },
    NonPositiveTheta {
        theta: f64,
    },
    NonFinite {
        name: &'static str,
    },
}

Error returned when SVI / SSVI parameters or market quotes fail validation.

Every SVI parametrisation has a validity domain (raw SVI: b >= 0, |rho| < 1, sigma > 0, a + b*sigma*sqrt(1-rho^2) >= 0). A constructor or validate method returns one of these variants when an input lies outside that domain.

Examples

use regit_svi::errors::ParamError;

let err = ParamError::NegativeSlope { b: -0.1 };
assert_eq!(format!("{err}"), "raw SVI slope b must be non-negative, got -0.1");

Variants

NegativeSlope

Raw SVI slope b is negative.

Fields

b: f64

The offending value of b.

CorrelationOutOfRange

Raw SVI / SSVI correlation rho is outside (-1, 1).

Fields

rho: f64

The offending value of rho.

NonPositiveSigma

Raw SVI curvature sigma is not strictly positive.

Fields

sigma: f64

The offending value of sigma.

NegativeMinVariance

The minimum total variance a + b*sigma*sqrt(1-rho^2) is negative, so the slice produces negative variance somewhere.

Fields

w_min: f64

The minimum value of w over the slice.

NonPositiveMaturity

A maturity t is not strictly positive.

Fields

t: f64

The offending value of t.

NegativeWeight

A fitting weight on a market quote is negative.

Fields

weight: f64

The offending weight.

NegativeTotalVariance

An observed total variance on a market quote is negative.

Fields

w: f64

The offending total variance.

InvalidPhiParameter

An SSVI smoothing-function parameter is outside its valid domain (lambda > 0, eta > 0, gamma in (0, 1)).

Fields

name: &'static str

Human-readable name of the offending parameter.

value: f64

The offending value.

NonPositiveTheta

An SSVI ATM total variance theta is not strictly positive.

Fields

theta: f64

The offending value of theta.

NonFinite

A non-finite (NaN or infinite) value was supplied where a finite number is required.

Fields

name: &'static str

Human-readable name of the offending input.

Trait Implementations

impl Clone for ParamError

fn clone(&self) -> ParamError

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for ParamError

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

Formats the value using the given formatter.

impl Display for ParamError

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

Formats the value using the given formatter.

impl Error for ParamError

fn source(&self) -> Option<&(dyn Error + 'static)>

Returns the lower-level source of this error, if any.

fn description(&self) -> &str

👎Deprecated since 1.42.0:

use the Display impl or to_string()

fn cause(&self) -> Option<&dyn Error>

👎Deprecated since 1.33.0:

replaced by Error::source, which can support downcasting

fn provide<'a>(&'a self, request: &mut Request<'a>)

🔬This is a nightly-only experimental API. (error_generic_member_access)

Provides type-based access to context intended for error reports.

impl From<ParamError> for CalibrationError

fn from(e: ParamError) -> Self

Converts to this type from the input type.

impl From<ParamError> for ConvertError

fn from(e: ParamError) -> Self

Converts to this type from the input type.

impl PartialEq for ParamError

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

Tests for self and other values to be equal, and is used by ==.

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

Tests for !=. The default implementation is almost always sufficient, and should not be overridden without very good reason.

impl Copy for ParamError

impl StructuralPartialEq for ParamError