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

Struct RangeAccrualNote

pub struct RangeAccrualNote {
    pub principal: f64,
    pub spot: f64,
    pub lower_barrier: f64,
    pub upper_barrier: f64,
    pub accrual_rate: f64,
    pub maturity: f64,
    pub rate: f64,
    pub volatility: f64,
    pub n_observations: usize,
}

Expand description

Range accrual note - accrues interest when underlying stays in range

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§principal: f64

Principal amount

§spot: f64

Underlying spot price

§lower_barrier: f64

Lower barrier

§upper_barrier: f64

Upper barrier

§accrual_rate: f64

Accrual rate per day (annualized)

§maturity: f64

Time to maturity

§rate: f64

Risk-free rate

§volatility: f64

Volatility

§n_observations: usize

Number of observation days

Implementations§

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impl RangeAccrualNote

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pub fn new( principal: f64, spot: f64, lower_barrier: f64, upper_barrier: f64, accrual_rate: f64, maturity: f64, rate: f64, volatility: f64, n_observations: usize, ) -> IntegrateResult<Self>

Create a new range accrual note

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

Price range accrual note using Monte Carlo

Trait Implementations§

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impl Clone for RangeAccrualNote

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fn clone(&self) -> RangeAccrualNote

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 RangeAccrualNote

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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 RangeAccrualNote

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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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