pub struct SVIModel { /* private fields */ }Expand description
Represents the full SVI volatility surface across multiple maturities.
Implementations§
Trait Implementations§
Source§impl SurfaceModel for SVIModel
impl SurfaceModel for SVIModel
Source§fn validate_params(&self) -> Result<()>
fn validate_params(&self) -> Result<()>
Validates parameters and checks calendar arbitrage across slices.
Source§fn total_variance(&self, k: f64, t: f64) -> Result<f64>
fn total_variance(&self, k: f64, t: f64) -> Result<f64>
Calculates total variance by interpolating parameters for time t.
Source§fn check_calendar_arbitrage(&self, k: f64, t1: f64, t2: f64) -> Result<()>
fn check_calendar_arbitrage(&self, k: f64, t1: f64, t2: f64) -> Result<()>
Checks calendar arbitrage between two times at a given k.
Source§fn check_butterfly_arbitrage_at_k(&self, k: f64, t: f64) -> Result<()>
fn check_butterfly_arbitrage_at_k(&self, k: f64, t: f64) -> Result<()>
Checks butterfly arbitrage at a specific k and t by creating a temporary slice.
type Parameters = Vec<(f64, SVIParams)>
fn parameters(&self) -> &Self::Parameters
Auto Trait Implementations§
impl Freeze for SVIModel
impl RefUnwindSafe for SVIModel
impl Send for SVIModel
impl Sync for SVIModel
impl Unpin for SVIModel
impl UnwindSafe for SVIModel
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Source§impl<T> BorrowMut<T> for Twhere
T: ?Sized,
impl<T> BorrowMut<T> for Twhere
T: ?Sized,
Source§fn borrow_mut(&mut self) -> &mut T
fn borrow_mut(&mut self) -> &mut T
Mutably borrows from an owned value. Read more
Source§impl<T> CloneToUninit for Twhere
T: Clone,
impl<T> CloneToUninit for Twhere
T: Clone,
Source§impl<T> IntoEither for T
impl<T> IntoEither for T
Source§fn into_either(self, into_left: bool) -> Either<Self, Self>
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 moreSource§fn into_either_with<F>(self, into_left: F) -> Either<Self, Self>
fn into_either_with<F>(self, into_left: F) -> Either<Self, Self>
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 moreSource§impl<T> Pointable for T
impl<T> Pointable for T
Source§impl<SS, SP> SupersetOf<SS> for SPwhere
SS: SubsetOf<SP>,
impl<SS, SP> SupersetOf<SS> for SPwhere
SS: SubsetOf<SP>,
Source§fn to_subset(&self) -> Option<SS>
fn to_subset(&self) -> Option<SS>
The inverse inclusion map: attempts to construct
self from the equivalent element of its
superset. Read moreSource§fn is_in_subset(&self) -> bool
fn is_in_subset(&self) -> bool
Checks if
self is actually part of its subset T (and can be converted to it).Source§fn to_subset_unchecked(&self) -> SS
fn to_subset_unchecked(&self) -> SS
Use with care! Same as
self.to_subset but without any property checks. Always succeeds.Source§fn from_subset(element: &SS) -> SP
fn from_subset(element: &SS) -> SP
The inclusion map: converts
self to the equivalent element of its superset.