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

Struct PrincipalProtectedNote

pub struct PrincipalProtectedNote {
    pub principal: f64,
    pub spot: f64,
    pub strike: f64,
    pub maturity: f64,
    pub rate: f64,
    pub volatility: f64,
    pub participation_rate: f64,
    pub cap: Option<f64>,
}

Expand description

Principal-protected note with participation in upside

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§principal: f64

Principal amount (guaranteed)

§spot: f64

Underlying spot price

§strike: f64

Strike price

§maturity: f64

Time to maturity

§rate: f64

Risk-free rate

§volatility: f64

Volatility

§participation_rate: f64

Participation rate in upside

§cap: Option<f64>

Cap on returns (optional)

Implementations§

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impl PrincipalProtectedNote

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pub fn new( principal: f64, spot: f64, strike: f64, maturity: f64, rate: f64, volatility: f64, participation_rate: f64, cap: Option<f64>, ) -> IntegrateResult<Self>

Create a new principal-protected note

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pub fn price(&self) -> f64

Price the principal-protected note

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pub fn fair_participation_rate(&self, target_price: f64) -> IntegrateResult<f64>

Calculate fair participation rate given note price

Trait Implementations§

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impl Clone for PrincipalProtectedNote

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fn clone(&self) -> PrincipalProtectedNote

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 PrincipalProtectedNote

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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 PrincipalProtectedNote

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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