scirs2_integrate::specialized::finance::derivatives::structured

Struct AutocallableNote

pub struct AutocallableNote {
    pub spots: Vec<f64>,
    pub autocall_barriers: Vec<f64>,
    pub observation_dates: Vec<f64>,
    pub coupon_rates: Vec<f64>,
    pub knock_in_barrier: f64,
    pub principal: f64,
    pub rate: f64,
    pub volatilities: Vec<f64>,
    pub correlation: Array2<f64>,
}

Expand description

Autocallable note with barrier monitoring

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§spots: Vec<f64>

Initial spot prices for each underlying

§autocall_barriers: Vec<f64>

Autocall barrier levels (as % of initial spot)

§observation_dates: Vec<f64>

Observation dates (in years)

§coupon_rates: Vec<f64>

Coupon rates at each observation

§knock_in_barrier: f64

Downside barrier (knock-in level)

§principal: f64

Principal amount

§rate: f64

Risk-free rate

§volatilities: Vec<f64>

Volatilities for each underlying

§correlation: Array2<f64>

Correlation matrix

Implementations§

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impl AutocallableNote

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pub fn new( spots: Vec<f64>, autocall_barriers: Vec<f64>, observation_dates: Vec<f64>, coupon_rates: Vec<f64>, knock_in_barrier: f64, principal: f64, rate: f64, volatilities: Vec<f64>, correlation: Array2<f64>, ) -> IntegrateResult<Self>

Create a new autocallable note

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pub fn price_monte_carlo(&self, n_paths: usize) -> IntegrateResult<f64>

Price autocallable note using Monte Carlo simulation

Trait Implementations§

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impl Clone for AutocallableNote

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fn clone(&self) -> AutocallableNote

Returns a duplicate of the value. Read more

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

Performs copy-assignment from source. Read more

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impl Debug for AutocallableNote

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

Formats the value using the given formatter. Read more

Auto Trait Implementations§

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impl UnwindSafe for AutocallableNote

Blanket Implementations§

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impl<T> Any for T
where T: 'static + ?Sized,

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fn type_id(&self) -> TypeId

Gets the TypeId of self. Read more

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impl<T> Borrow<T> for T
where T: ?Sized,

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fn borrow(&self) -> &T

Immutably borrows from an owned value. Read more

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impl<T> BorrowMut<T> for T
where T: ?Sized,

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fn borrow_mut(&mut self) -> &mut T

Mutably borrows from an owned value. Read more

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impl<T> CloneToUninit for T
where T: Clone,

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unsafe fn clone_to_uninit(&self, dest: *mut u8)

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

Performs copy-assignment from self to dest. Read more

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impl<T> From<T> for T

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fn from(t: T) -> T

Returns the argument unchanged.

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impl<T, U> Into for T
where U: From<T>,

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fn into(self) -> U

Calls U::from(self).

That is, this conversion is whatever the implementation of From<T> for U chooses to do.

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impl<T> IntoEither for T

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fn into_either(self, into_left: bool) -> Either<Self, Self>

Converts self into a Left variant of Either<Self, Self> if into_left is true. Converts self into a Right variant of Either<Self, Self> otherwise. Read more

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fn into_either_with<F>(self, into_left: F) -> Either<Self, Self>
where F: FnOnce(&Self) -> bool,

Converts self into a Left variant of Either<Self, Self> if into_left(&self) returns true. Converts self into a Right variant of Either<Self, Self> otherwise. Read more

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