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ModelCalibrator

surface_lib::calibration::types

Trait ModelCalibrator 

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pub trait ModelCalibrator: Send + Sync {
    // Required methods
    fn model_name(&self) -> &str;
    fn param_count(&self) -> usize;
    fn param_bounds(&self) -> &[(f64, f64)];
    fn evaluate_objective(&self, x: &[f64], data: &[MarketDataRow]) -> f64;
    fn price_options(
        &self,
        market_data: &[MarketDataRow],
        best_params: &[f64],
        config: &OptimizationConfig,
    ) -> Vec<PricingResult>;
    fn param_names(&self) -> Vec<&str>;
    fn as_any(&self) -> &dyn Any;

    // Provided methods
    fn set_prev_solution(&mut self, _prev_solution: Vec<f64>) { ... }
    fn set_temporal_reg_lambda(&mut self, _lambda: f64) { ... }
    fn expand_bounds_if_needed(
        &mut self,
        _params: &[f64],
        _proximity_threshold: f64,
        _expansion_factor: f64,
    ) -> bool { ... }
}
Expand description

Model calibrator trait for parameter optimization

Required Methods§

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fn model_name(&self) -> &str

Returns the name of the model (e.g., “svi”)

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fn param_count(&self) -> usize

How many parameters are in the model’s optimization vector

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fn param_bounds(&self) -> &[(f64, f64)]

Returns the vector of (min, max) bounds for each parameter

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fn evaluate_objective(&self, x: &[f64], data: &[MarketDataRow]) -> f64

Given a parameter vector x and data, returns the objective value

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fn price_options( &self, market_data: &[MarketDataRow], best_params: &[f64], config: &OptimizationConfig, ) -> Vec<PricingResult>

Price options using the calibrated parameters

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fn param_names(&self) -> Vec<&str>

Returns parameter names in the order they appear in the optimization vector

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fn as_any(&self) -> &dyn Any

Support for downcasting

Provided Methods§

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fn set_prev_solution(&mut self, _prev_solution: Vec<f64>)

Set the previous solution for temporal regularization

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fn set_temporal_reg_lambda(&mut self, _lambda: f64)

Set the lambda parameter for temporal regularization

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fn expand_bounds_if_needed( &mut self, _params: &[f64], _proximity_threshold: f64, _expansion_factor: f64, ) -> bool

Expand internal parameter bounds if parameters are near current bounds. Returns true if any bound was adjusted.

Dyn Compatibility§

This trait is dyn compatible.

In older versions of Rust, dyn compatibility was called "object safety".

Implementors§