Struct Greeks 

pub struct Greeks {
    pub delta: f64,
    pub gamma: f64,
    pub vega: f64,
    pub theta: f64,
    pub rho: f64,
    pub vanna: f64,
    pub charm: f64,
    pub gamma_p: f64,
    pub zomma: f64,
}

First- and second-order sensitivities of a priced instrument.

Instruments that do not report a sensitivity leave it at 0.0 (e.g. spot Greeks of return-based payoffs such as cliquets, which are spot-homogeneous by construction).

Fields

delta: f64

Change in value per unit change in the underlying, dV/dS.

gamma: f64

Change in delta per unit change in the underlying, d²V/dS².

vega: f64

Change in value per unit change in implied volatility, dV/dσ.

theta: f64

Change in value per year of calendar time, dV/dt.

rho: f64

Change in value per unit change in the risk-free rate, dV/dr.

vanna: f64

Change in delta per unit change in implied volatility, d²V/(dS dσ).

charm: f64

Change in delta per year of calendar time, d²V/(dS dt).

gamma_p: f64

Delta elasticity, S * gamma / delta.

zomma: f64

Change in gamma per unit change in implied volatility, d³V/(dS² dσ).

Trait Implementations

impl Clone for Greeks

fn clone(&self) -> Greeks

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Copy for Greeks

impl Debug for Greeks

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

Formats the value using the given formatter.

impl Default for Greeks

fn default() -> Greeks

Returns the “default value” for a type.

impl<'de> Deserialize<'de> for Greeks

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

where __D: Deserializer<'de>,

Deserialize this value from the given Serde deserializer.

impl PartialEq for Greeks

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

Equality operator ==.

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

Inequality operator !=.

impl Serialize for Greeks

fn serialize<__S>(&self, __serializer: __S) -> Result<__S::Ok, __S::Error>

where __S: Serializer,

Serialize this value into the given Serde serializer.

impl StructuralPartialEq for Greeks