Struct GridSolution 

pub struct GridSolution<const N: usize> {
    pub value: f64,
    pub control: ControlOutput<N>,
    pub value_grid: Option<Vec<f64>>,
}

Generic output from a numerical HJB solver, independent of any specific application (market making, option pricing, etc.).

Contains the value function and optimal controls at a query state. Use GridSolution::to_spreads to convert to market-making spreads when the model is a market-making model.

Fields

value: f64

Value function V(t, x) at the query state.

control: ControlOutput<N>

Optimal control intensities at the query state.

value_grid: Option<Vec<f64>>

Full value function on grid (Some for FD solvers, None for BSDE).

Implementations

impl<const N: usize> GridSolution<N>

pub fn new( value: f64, control: ControlOutput<N>, value_grid: Option<Vec<f64>>, ) -> Self

Create a GridSolution from raw components.

impl<const N: usize> GridSolution<N>

pub fn to_spreads(&self, a: f64, kappa: f64) -> SpreadResult

Convert generic solver output to market-making spreads.

Uses the first control dimension (index 0) for bid/ask intensities. This is the convention for all market-making models where state dimension 0 is inventory q.

Panics

Panics if N = 0 (no control dimensions exist).

Trait Implementations

impl<const N: usize> Clone for GridSolution<N>

fn clone(&self) -> GridSolution<N>

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl<const N: usize> Debug for GridSolution<N>

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

Formats the value using the given formatter.