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LadderPoint

rustyqlib::risk::ladder

Struct LadderPoint

pub struct LadderPoint {
    pub move_rel: f64,
    pub spot: f64,
    pub mtm: f64,
    pub pnl: f64,
    pub position_mtm: Vec<f64>,
    pub delta: Option<f64>,
    pub gamma: Option<f64>,
}

Expand description

One rung of the ladder.

Fields§

§move_rel: f64

Relative spot move of this rung (e.g. -0.10 = spot down 10%).

§spot: f64

Absolute spot level at this rung, S0 * (1 + move_rel).

§mtm: f64

Book MtM under the bumped market (quantity-weighted).

§pnl: f64

mtm - base_mtm.

§position_mtm: Vec<f64>

Per-position MtM at this rung, in book order — the drill-down for “which trade drives the flip”.

§delta: Option<f64>

Ladder delta dV/dS at this rung from the neighbouring rungs (central differences, uneven spacing supported); None at the endpoints, which have only one neighbour.

§gamma: Option<f64>

Ladder gamma d²V/dS² at this rung; None at the endpoints.

Trait Implementations§

impl Clone for LadderPoint

fn clone(&self) -> LadderPoint

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 Debug for LadderPoint

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

Formats the value using the given formatter. Read more

Auto Trait Implementations§

impl Freeze for LadderPoint

impl RefUnwindSafe for LadderPoint

impl Send for LadderPoint

impl Sync for LadderPoint

impl Unpin for LadderPoint

impl UnsafeUnpin for LadderPoint

impl UnwindSafe for LadderPoint

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