Struct Quote 

pub struct Quote {
    pub k: f64,
    pub w: f64,
    pub weight: f64,
}

A single market quote: a log-moneyness, an observed total implied variance, and a non-negative fitting weight.

A slice is a set of quotes sharing one maturity. The weight is any non-negative number expressing the relative trust placed in the quote during calibration — common choices are option vega or the inverse of the bid-ask spread. A weight of 0.0 excludes the quote from the fit.

Invariants

Constructed through Quote::new (checked) or Quote::new_unchecked (caller-asserted), a Quote always satisfies w >= 0, weight >= 0, and all three fields finite.

Examples

use regit_svi::types::Quote;

let q = Quote::new(-0.10, 0.0432, 1.0).unwrap();
assert!((q.k + 0.10).abs() < 1e-15);
assert!((q.w - 0.0432).abs() < 1e-15);

Fields

k: f64

Log-moneyness k = ln(K / F).

w: f64

Observed total implied variance w = sigma_BS^2 * T.

weight: f64

Non-negative fitting weight (e.g. vega or inverse bid-ask spread).

Implementations

impl Quote

pub fn new(k: f64, w: f64, weight: f64) -> Result<Self, ParamError>

Creates a validated market quote.

Errors

• ParamError::NonFinite if any field is NaN or infinite.
• ParamError::NegativeTotalVariance if w < 0.
• ParamError::NegativeWeight if weight < 0.

Examples

use regit_svi::types::Quote;
use regit_svi::errors::ParamError;

assert!(Quote::new(0.0, 0.04, 1.0).is_ok());
assert_eq!(
    Quote::new(0.0, -0.04, 1.0),
    Err(ParamError::NegativeTotalVariance { w: -0.04 }),
);

pub const fn new_unchecked(k: f64, w: f64, weight: f64) -> Self

Creates a quote without validation.

The caller asserts w >= 0, weight >= 0, and all fields finite. Used on hot paths where the inputs are already known to be valid.

Examples

use regit_svi::types::Quote;

let q = Quote::new_unchecked(0.0, 0.04, 1.0);
assert!((q.w - 0.04).abs() < 1e-15);

pub fn implied_vol(&self, t: f64) -> Result<f64, ParamError>

Returns the Black implied volatility implied by this quote at maturity t, i.e. sqrt(w / t).

Errors

Returns ParamError::NonPositiveMaturity if t <= 0.

Examples

use regit_svi::types::Quote;

let q = Quote::new(0.0, 0.04, 1.0).unwrap();
let vol = q.implied_vol(1.0).unwrap();
assert!((vol - 0.20).abs() < 1e-12);

Trait Implementations

impl Clone for Quote

fn clone(&self) -> Quote

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for Quote

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

Formats the value using the given formatter.

impl PartialEq for Quote

fn eq(&self, other: &Quote) -> 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 Quote

impl StructuralPartialEq for Quote