Module stress 

Stress MtM: scenario revaluation of an options book driven by a TOML shock configuration.

A config declares named scenarios, each a list of shocks on risk factors (spot, vol, rate, time) with relative or absolute sizing and an optional underlying filter:

[[scenarios]]
name = "equity_crash"

[[scenarios.shocks]]
factor = "spot"
mode = "relative"
size = -0.20            # spot down 20%

[[scenarios.shocks]]
factor = "vol"
mode = "absolute"
size = 0.10             # implied vol up 10 points
underlying = "ACME"     # only this name (omit or "*" for all)

[[scenarios.shocks]]
factor = "rate"
mode = "absolute"
size = 0.005
tenors = [1.0, 2.0]     # key-rate: bump only this part of the curve
# shifts = [0.005, 0.003]  # optional per-tenor sizes (default: size)

[arbitrage]             # optional guard on bumped curves
policy = "warn"         # allow | warn (default) | reject
forward_floor = 0.0

The book’s market is snapshotted once into a typed Market store, each scenario bumps it (Market::bumped — every risk factor object performs its own bump, shocks apply in order, relative shocks scale the current level), and every position reprices fully on its own engine under the bumped snapshot (EquityOption::npv_in). Results come back per trade and aggregated per scenario, with the aggregation identity portfolio = sum(trades) exact by construction.

The time factor is an absolute horizon in days (theta-inclusive stresses); dividend/carry shocks are not yet supported by the repricer and are rejected at parse time by omission from the enum.

Re-exports

pub use crate::core::market::BumpMode;

pub use crate::core::market::RiskFactor;

pub use crate::core::market::Shock;

Structs

ArbitrageCheck

The no-arbitrage guard applied to every bumped curve of every scenario.

ScenarioResult

One scenario’s book-level result with the per-trade breakdown.

StressConfig

The whole stress configuration (one or more scenarios).

StressScenario

A named collection of shocks applied together.

TradeStress

One trade’s stress result.

Enums

ArbitragePolicy

What to do when a bumped scenario curve implies a forward rate below the configured floor (see min_forward).

Functions

stress_mtm

Run every scenario in config over the book, through the pricing context: the book’s market is snapshotted once, each scenario bumps it (Market::bumped), the bumped curves pass the config’s no-arbitrage guard (ArbitrageCheck), and every position revalues fully on its own engine under the bumped snapshot. Reported per trade and aggregated; portfolio = sum(trades) is exact by construction. Errors on a malformed shock, a rejected arbitrage check, or a position the captured market cannot price.