Struct MertonJumpLogNormal 

pub struct MertonJumpLogNormal {
    pub risk_free_rate: f64,
    pub mu: f64,
    pub sigma: f64,
    pub jump_rate: f64,
    pub jump_mean: f64,
    pub jump_vol: f64,
}

Merton log-utility portfolio with log-normal jumps.

See the module-level documentation for the formulation and numerical 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_mean: f64

Mean of the log jump size, E[ln Y].

jump_vol: f64

Volatility of the log jump size, std(ln Y).

Implementations

impl MertonJumpLogNormal

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

Creates a Merton log-normal jump problem.

Panics

Panics if sigma or jump_vol is negative, if jump_rate is negative, or if the first-order condition does not bracket an interior optimum on [0, 1] (i.e. the chosen parameters drive the policy to a corner).

Examples

use solver::models::merton_jump_lognormal::MertonJumpLogNormal;
let m = MertonJumpLogNormal::new(0.03, 0.08, 0.3, 1.0, -0.02, 0.05);
assert!(m.jump_vol >= 0.0);

pub fn exact_policy(&self) -> f64

Optimal portfolio fraction, bracketed on [0, 1] and refined by bisection.

Examples

use solver::models::merton_jump_lognormal::MertonJumpLogNormal;
let m = MertonJumpLogNormal::new(0.03, 0.08, 0.3, 1.0, -0.02, 0.05);
assert!(m.exact_policy() > 0.0 && m.exact_policy() < 1.0);

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_lognormal::MertonJumpLogNormal;
let m = MertonJumpLogNormal::new(0.03, 0.08, 0.3, 1.0, -0.02, 0.05);
let v = m.exact_value(100.0, 1.0);
assert!(v.is_finite());

Trait Implementations

impl Clone for MertonJumpLogNormal

fn clone(&self) -> MertonJumpLogNormal

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Copy for MertonJumpLogNormal

impl Debug for MertonJumpLogNormal

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

Formats the value using the given formatter.

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.