Struct SVISlice 

pub struct SVISlice {
    pub params: SVIParams,
}

Represents the SVI volatility model for a single maturity slice. Contains the parameters and implements the SVI calculation logic.

Fields

params: SVIParams

Implementations

impl SVISlice

pub fn new(params: SVIParams) -> Self

Creates a new SVISlice instance from validated SVIParams.

pub fn total_variance_at_k(&self, k: f64) -> f64

Calculates total variance w(k) using the SVI formula: w(k) = a + b * (ρ(k-m) + sqrt((k-m)² + σ²))

pub fn implied_vol(&self, k: f64) -> f64

Calculates implied volatility σ(k) from total variance.

Trait Implementations

impl Clone for SVISlice

fn clone(&self) -> SVISlice

Returns a duplicate of the value.

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source.

impl Debug for SVISlice

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

Formats the value using the given formatter.

impl PartialEq for SVISlice

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

Tests for self and other values to be equal, and is used by ==.

fn ne(&self, other: &Rhs) -> bool

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

impl SurfaceModel for SVISlice

fn validate_params(&self) -> Result<()>

Validates the internal parameters using the shared helper function.

fn total_variance(&self, k: f64, t: f64) -> Result<f64>

Calculates the model’s implied total variance. Requires t to be within ~5 minutes of the slice’s params.t.

fn check_calendar_arbitrage(&self, _k: f64, _t1: f64, _t2: f64) -> Result<()>

Checks for calendar spread arbitrage. Returns Ok(()) as it’s not applicable for a single slice.

fn check_butterfly_arbitrage_at_k(&self, k: f64, t: f64) -> Result<()>

Checks for butterfly spread arbitrage violations at k and t. Uses Gatheral’s g(k) condition: g(k) = (1 - kw’/(2w))² - (w’)²/4 * (1/w + 1/4) + w’’/2 >= 0 Requires t to be within ~5 minutes of the slice’s params.t.

type Parameters = SVIParams

fn parameters(&self) -> &Self::Parameters

impl StructuralPartialEq for SVISlice