scirs2_integrate::specialized::finance::utils::calibration

Struct ImpliedVolatilitySurface

pub struct ImpliedVolatilitySurface { /* private fields */ }

Expand description

Implied volatility surface

Implementations§

Source §

impl ImpliedVolatilitySurface

Source

pub fn new(spot: f64, rate: f64, dividend: f64) -> Self

Create a new implied volatility surface

Source

pub fn add_quote( &mut self, strike: f64, maturity: f64, implied_vol: f64, bid_ask_spread: Option<f64>, )

Add an implied volatility quote

Source

pub fn get_vol(&self, strike: f64, maturity: f64) -> Option<f64>

Get implied volatility for a given strike and maturity

Source

pub fn strikes(&self) -> Vec<f64>

Get all strikes

Source

pub fn maturities(&self) -> Vec<f64>

Get all maturities

Source

pub fn to_option_quotes(&self) -> Result<Vec<OptionQuote>>

Convert to option quotes (for calibration)

Source

pub fn size(&self) -> usize

Number of quotes in the surface

Auto Trait Implementations§

§

impl UnwindSafe for ImpliedVolatilitySurface

Blanket Implementations§

Source §

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

Source §

fn type_id(&self) -> TypeId

Gets the TypeId of self. Read more

Source §

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

Source §

fn borrow(&self) -> &T

Immutably borrows from an owned value. Read more

Source §

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

Source §

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

Mutably borrows from an owned value. Read more

Source §

impl<T> From<T> for T

Source §

fn from(t: T) -> T

Returns the argument unchanged.

Source §

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

Source §

fn into(self) -> U

Calls U::from(self).

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

Source §

impl<T> IntoEither for T

Source §

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

Source §

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

Source §