SVIParams

surface_lib::models::svi::svi_model

Struct SVIParams 

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pub struct SVIParams {
    pub t: f64,
    pub a: f64,
    pub b: f64,
    pub rho: f64,
    pub m: f64,
    pub sigma: f64,
}
Expand description

Parameters for the SVI (Stochastic Volatility Inspired) model for a single maturity.

The SVI model provides a parametric form for implied volatility that ensures no calendar arbitrage and can be configured to avoid butterfly arbitrage.

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§t: f64

Time to maturity (years)

§a: f64

Vertical shift parameter (controls ATM variance level)

§b: f64

Slope factor (controls overall variance level)

§rho: f64

Asymmetry parameter (skew, must be in (-1, 1))

§m: f64

Horizontal shift parameter (ATM location)

§sigma: f64

Curvature parameter (controls smile curvature, must be > 0)

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impl SVIParams

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pub fn new(t: f64, a: f64, b: f64, rho: f64, m: f64, sigma: f64) -> Result<Self>

Creates new SVI parameters with validation.

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pub fn validate(&self) -> Result<()>

Validates the current parameter set.

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impl Clone for SVIParams

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fn clone(&self) -> SVIParams

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 SVIParams

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

Formats the value using the given formatter. Read more
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impl<'de> Deserialize<'de> for SVIParams

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fn deserialize<__D>(__deserializer: __D) -> Result<Self, __D::Error>
where __D: Deserializer<'de>,

Deserialize this value from the given Serde deserializer. Read more
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impl PartialEq for SVIParams

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fn eq(&self, other: &SVIParams) -> bool

Tests for self and other values to be equal, and is used by ==.
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fn ne(&self, other: &Rhs) -> bool

Tests for !=. The default implementation is almost always sufficient, and should not be overridden without very good reason.
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impl Serialize for SVIParams

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fn serialize<__S>(&self, __serializer: __S) -> Result<__S::Ok, __S::Error>
where __S: Serializer,

Serialize this value into the given Serde serializer. Read more
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impl StructuralPartialEq for SVIParams

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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<U> 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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impl<T> Pointable for T

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const ALIGN: usize

The alignment of pointer.
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type Init = T

The type for initializers.
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unsafe fn init(init: <T as Pointable>::Init) -> usize

Initializes a with the given initializer. Read more
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unsafe fn deref<'a>(ptr: usize) -> &'a T

Dereferences the given pointer. Read more
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Mutably dereferences the given pointer. Read more
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unsafe fn drop(ptr: usize)

Drops the object pointed to by the given pointer. Read more
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impl<T> Same for T

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type Output = T

Should always be Self
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impl<SS, SP> SupersetOf<SS> for SP
where SS: SubsetOf<SP>,

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fn to_subset(&self) -> Option<SS>

The inverse inclusion map: attempts to construct self from the equivalent element of its superset. Read more
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fn is_in_subset(&self) -> bool

Checks if self is actually part of its subset T (and can be converted to it).
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fn to_subset_unchecked(&self) -> SS

Use with care! Same as self.to_subset but without any property checks. Always succeeds.
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fn from_subset(element: &SS) -> SP

The inclusion map: converts self to the equivalent element of its superset.
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where T: Clone,

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type Owned = T

The resulting type after obtaining ownership.
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fn to_owned(&self) -> T

Creates owned data from borrowed data, usually by cloning. Read more
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fn clone_into(&self, target: &mut T)

Uses borrowed data to replace owned data, usually by cloning. Read more
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impl<T, U> TryFrom<U> for T
where U: Into<T>,

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type Error = Infallible

The type returned in the event of a conversion error.
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fn try_from(value: U) -> Result<T, <T as TryFrom<U>>::Error>

Performs the conversion.
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impl<T, U> TryInto<U> for T
where U: TryFrom<T>,

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type Error = <U as TryFrom<T>>::Error

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fn try_into(self) -> Result<U, <U as TryFrom<T>>::Error>

Performs the conversion.
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impl<V, T> VZip<V> for T
where V: MultiLane<T>,

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fn vzip(self) -> V

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where T: for<'de> Deserialize<'de>,

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impl<T> Scalar for T
where T: 'static + Clone + PartialEq + Debug,