scirs2_integrate::specialized::finance::utils::math

Struct SABRParameters

pub struct SABRParameters {
    pub alpha: f64,
    pub beta: f64,
    pub rho: f64,
    pub nu: f64,
}

Expand description

SABR model parameters

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§alpha: f64

Alpha (initial volatility)

§beta: f64

Beta (elasticity parameter, typically 0, 0.5, or 1)

§rho: f64

Rho (correlation between forward and volatility)

§nu: f64

Nu (volatility of volatility)

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impl SABRParameters

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pub fn new(alpha: f64, beta: f64, rho: f64, nu: f64) -> Result<Self>

Create new SABR parameters with validation

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pub fn implied_volatility( &self, forward: f64, strike: f64, time: f64, ) -> Result<f64>

Calculate implied volatility using SABR formula (Hagan et al. 2002)

Trait Implementations§

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impl Clone for SABRParameters

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fn clone(&self) -> SABRParameters

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 SABRParameters

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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 SABRParameters

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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