Skip to main content

ContractOutput

rustyqlib::core::utils

Struct ContractOutput

pub struct ContractOutput {Show 14 fields
    pub pv: f64,
    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,
    pub std_err: Option<f64>,
    pub deltas: Option<Vec<f64>>,
    pub vegas: Option<Vec<f64>>,
    pub error: Option<String>,
}

Fields§

§pv: f64§delta: f64§gamma: f64§vega: f64§theta: f64§rho: f64§vanna: f64

Change in delta per unit change in implied volatility.

§charm: f64

Change in delta per year of calendar time.

§gamma_p: f64

Delta elasticity, S * gamma / delta.

§zomma: f64

Change in gamma per unit change in implied volatility.

§std_err: Option<f64>

Monte Carlo standard error of pv (None for deterministic engines).

§deltas: Option<Vec<f64>>

Per-asset deltas for multi-asset (rainbow) products.

§vegas: Option<Vec<f64>>

Per-asset vegas for multi-asset (rainbow) products.

§error: Option<String>

Implementations§

impl ContractOutput

pub fn from_error(message: String) -> Self

Output for a contract that could not be priced: all figures zero, with the failure recorded in error.

Trait Implementations§

impl<'de> Deserialize<'de> for ContractOutput

fn deserialize<D>(deserializer: D) -> Result<Self, D::Error>
where __D: Deserializer<'de>,

Deserialize this value from the given Serde deserializer. Read more

impl From<PricingResult> for ContractOutput

fn from(r: PricingResult) -> Self

Converts to this type from the input type.

impl Serialize for ContractOutput

fn serialize<S>(&self, serializer: S) -> Result<S::Ok, S::Error>
where S: Serializer,

Serialize this value into the given Serde serializer. Read more

Auto Trait Implementations§

impl Freeze for ContractOutput

impl RefUnwindSafe for ContractOutput

impl Send for ContractOutput

impl Sync for ContractOutput

impl Unpin for ContractOutput

impl UnsafeUnpin for ContractOutput

impl UnwindSafe for ContractOutput

Blanket Implementations§

impl<T> Any for T
where T: 'static + ?Sized,

fn type_id(&self) -> TypeId

Gets the TypeId of self. Read more

impl<T> Borrow<T> for T
where T: ?Sized,

fn borrow(&self) -> &T

Immutably borrows from an owned value. Read more

impl<T> BorrowMut<T> for T
where T: ?Sized,

fn borrow_mut(&mut self) -> &mut T

Mutably borrows from an owned value. Read more

impl<T> DeserializeOwned for T
where T: for<'de> Deserialize<'de>,

impl<T> From<T> for T

fn from(t: T) -> T

Returns the argument unchanged.

impl<T, U> Into<U> for T
where U: From<T>,

fn into(self) -> U

Calls U::from(self).

That is, this conversion is whatever the implementation of From<T> for U chooses to do.

impl<T> Pointable for T

const ALIGN: usize

The alignment of pointer.

type Init = T

The type for initializers.

unsafe fn init(init: <T as Pointable>::Init) -> usize

Initializes a with the given initializer. Read more

unsafe fn deref<'a>(ptr: usize) -> &'a T

Dereferences the given pointer. Read more

unsafe fn deref_mut<'a>(ptr: usize) -> &'a mut T

Mutably dereferences the given pointer. Read more

unsafe fn drop(ptr: usize)

Drops the object pointed to by the given pointer. Read more

impl<T, U> TryFrom<U> for T
where U: Into<T>,

type Error = Infallible

The type returned in the event of a conversion error.

fn try_from(value: U) -> Result<T, <T as TryFrom<U>>::Error>

Performs the conversion.

impl<T, U> TryInto<U> for T
where U: TryFrom<T>,

type Error = <U as TryFrom<T>>::Error

The type returned in the event of a conversion error.

fn try_into(self) -> Result<U, <U as TryFrom<T>>::Error>

Performs the conversion.

impl<V, T> VZip<V> for T
where V: MultiLane<T>,

fn vzip(self) -> V