Struct Shock 

pub struct Shock {
    pub factor: RiskFactor,
    pub mode: BumpMode,
    pub size: f64,
    pub underlying: Option<String>,
    pub tenors: Option<Vec<f64>>,
    pub shifts: Option<Vec<f64>>,
}

One shock on one factor. The how of each bump lives with the bumped type (VolSurface::bumped, YieldCurve::bumped); a shock only names the factor, the sizing and an optional underlying filter.

Fields

factor: RiskFactor

mode: BumpMode

size: f64

underlying: Option<String>

Restrict a spot/vol shock to one underlying symbol (None / "*" = every one). Rate and time shocks are market-wide; the filter is ignored for them.

tenors: Option<Vec<f64>>

Key-rate bump tenors in year fractions, strictly increasing — restricts a rate shock to those parts of the curve (see RateShift::KeyRateAbsolute). None bumps the whole curve in parallel. Absolute mode only; rejected on other factors.

shifts: Option<Vec<f64>>

Per-tenor sizes for a key-rate shock, same length as tenors; omitted means size at every tenor.

Implementations

impl Shock

pub fn applies_to(&self, symbol: &str) -> bool

Whether this shock applies to symbol (case-insensitive filter).

Trait Implementations

impl Clone for Shock

fn clone(&self) -> Shock

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for Shock

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

Formats the value using the given formatter.

impl<'de> Deserialize<'de> for Shock

fn deserialize<__D>(__deserializer: __D) -> Result<Self, __D::Error>

where __D: Deserializer<'de>,

Deserialize this value from the given Serde deserializer.