Struct MertonJump 

pub struct MertonJump {
    pub risk_free_rate: f64,
    pub mu: f64,
    pub sigma: f64,
    pub jump_rate: f64,
    pub jump_multiplier: f64,
}

Merton log-utility portfolio with a deterministic multiplicative jump.

See the module-level documentation for the formulation and exact solution.

Fields

risk_free_rate: f64

Risk-free rate.

mu: f64

Risky-asset drift.

sigma: f64

Risky-asset volatility.

jump_rate: f64

Poisson jump intensity.

jump_multiplier: f64

Deterministic multiplicative jump (wealth scales by 1 + u (y - 1)).

Implementations

impl MertonJump

pub fn new( risk_free_rate: f64, mu: f64, sigma: f64, jump_rate: f64, jump_multiplier: f64, ) -> Self

Creates a Merton jump problem.

Panics

Panics if sigma or jump_multiplier is not positive, or if jump_rate is negative.

Examples

use solver::models::merton_jump::MertonJump;
let m = MertonJump::new(0.03, 0.08, 0.3, 1.0, 1.1);
assert_eq!(m.jump_multiplier, 1.1);

pub fn exact_policy(&self) -> f64

Optimal (constant) portfolio fraction, the admissible root of the policy quadratic.

Examples

use solver::models::merton_jump::MertonJump;
let m = MertonJump::new(0.03, 0.08, 0.3, 1.0, 1.1);
assert!(m.exact_policy() > 0.0);

pub fn exact_value(&self, wealth: f64, tau: f64) -> f64

Closed-form value function V(t, x) for remaining horizon tau = T - t.

Examples

use solver::models::merton_jump::MertonJump;
let m = MertonJump::new(0.03, 0.08, 0.3, 1.0, 1.1);
let v = m.exact_value(100.0, 1.0);
assert!(v.is_finite());

Trait Implementations

impl Clone for MertonJump

fn clone(&self) -> MertonJump

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Copy for MertonJump

impl Debug for MertonJump

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

Formats the value using the given formatter.

impl From<&MertonJump> for Merton

The no-jump reduction of MertonJump with jump_rate = 0.

fn from(model: &MertonJump) -> Self

Converts to this type from the input type.

impl From<&MertonJumpLogNormal> for MertonJump

The zero-volatility reduction of MertonJumpLogNormal to the deterministic-jump MertonJump with multiplier y = e^m.

fn from(model: &MertonJumpLogNormal) -> Self

Converts to this type from the input type.