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VolLadderPoint

rustyqlib::risk::ladder

Struct VolLadderPoint 

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pub struct VolLadderPoint {
    pub shift: f64,
    pub mtm: f64,
    pub pnl: f64,
    pub position_mtm: Vec<f64>,
    pub vega: Option<f64>,
    pub volga: Option<f64>,
}
Expand description

One rung of a vol_ladder.

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§shift: f64

Absolute vol-point shift of this rung (e.g. -0.05 = every implied vol down 5 points), applied as a parallel surface shift.

§mtm: f64

Book MtM under the shifted surface (quantity-weighted).

§pnl: f64

mtm - base_mtm.

§position_mtm: Vec<f64>

Per-position MtM at this rung, in book order.

§vega: Option<f64>

Ladder vega dV/dσ (per unit vol; divide by 100 for per-vol-point) from the neighbouring rungs; None at the endpoints.

§volga: Option<f64>

Ladder volga d²V/dσ²; None at the endpoints.

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impl Clone for VolLadderPoint

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fn clone(&self) -> VolLadderPoint

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 Debug for VolLadderPoint

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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<T> Any for T
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impl<T> Borrow<T> for T
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fn borrow(&self) -> &T

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impl<T> BorrowMut<T> for T
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fn borrow_mut(&mut self) -> &mut T

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impl<T> CloneToUninit for T
where T: Clone,

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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
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impl<T> From<T> for T

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fn from(t: T) -> T

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

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fn into(self) -> U

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

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impl<T> Pointable for T

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const ALIGN: usize

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type Init = T

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

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

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type Error = Infallible

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

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

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impl<V, T> VZip<V> for T
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fn vzip(self) -> V