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PnlAttribution

rustyqlib::equity::portfolio

Struct PnlAttribution

pub struct PnlAttribution {
    pub delta_pnl: f64,
    pub gamma_pnl: f64,
    pub vega_pnl: f64,
    pub volga_pnl: f64,
    pub vanna_pnl: f64,
    pub theta_pnl: f64,
    pub rho_pnl: f64,
    pub explained: f64,
    pub actual: f64,
    pub unexplained: f64,
}

Expand description

Risk-based PnL explain for one market move.

Fields§

§delta_pnl: f64§gamma_pnl: f64§vega_pnl: f64§volga_pnl: f64§vanna_pnl: f64§theta_pnl: f64§rho_pnl: f64§explained: f64

Sum of the Taylor terms above.

§actual: f64

Full-reprice PnL of the book under the shifted market.

§unexplained: f64

actual - explained: third-order and unmodeled cross terms.

Trait Implementations§

impl Clone for PnlAttribution

fn clone(&self) -> PnlAttribution

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

impl Copy for PnlAttribution

impl Debug for PnlAttribution

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

Formats the value using the given formatter. Read more

Auto Trait Implementations§

impl Freeze for PnlAttribution

impl RefUnwindSafe for PnlAttribution

impl Send for PnlAttribution

impl Sync for PnlAttribution

impl Unpin for PnlAttribution

impl UnsafeUnpin for PnlAttribution

impl UnwindSafe for PnlAttribution

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> CloneToUninit for T
where T: Clone,

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

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

Performs copy-assignment from self to dest. Read more

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> ToOwned for T
where T: Clone,

type Owned = T

The resulting type after obtaining ownership.

fn to_owned(&self) -> T

Creates owned data from borrowed data, usually by cloning. Read more

fn clone_into(&self, target: &mut T)

Uses borrowed data to replace owned data, usually by cloning. 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