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RiskConfig

rustyqlib::risk::portfolio_risk

Struct RiskConfig 

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pub struct RiskConfig {
    pub horizon: f64,
    pub spot_vol: f64,
    pub vol_of_vol: f64,
    pub spot_vol_corr: f64,
    pub scenarios: usize,
    pub confidence: f64,
    pub seed: u64,
}
Expand description

Scenario-generation settings for portfolio VaR.

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§horizon: f64

Horizon in years (1 trading day = 1/252).

§spot_vol: f64

Annualized volatility of the underlying’s return.

§vol_of_vol: f64

Annualized volatility of the implied-vol move (absolute, e.g. 0.8 means a 1-day vol move of ~0.8/sqrt(252) ~ 5 vol points).

§spot_vol_corr: f64

Spot-vol move correlation (negative in equity markets).

§scenarios: usize§confidence: f64§seed: u64

Trait Implementations§

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impl Clone for RiskConfig

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fn clone(&self) -> RiskConfig

Returns a duplicate of the value. Read more
1.0.0 (const: unstable) · Source§

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

Performs copy-assignment from source. Read more
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impl Copy for RiskConfig

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impl Debug for RiskConfig

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

Formats the value using the given formatter. Read more
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impl Default for RiskConfig

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fn default() -> Self

Returns the “default value” for a type. Read more

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unsafe fn clone_to_uninit(&self, dest: *mut u8)

🔬This is a nightly-only experimental API. (clone_to_uninit)
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