Struct InstrumentGreeks 

#[non_exhaustive]
pub struct InstrumentGreeks {
    pub delta: f64,
    pub gamma: f64,
    pub vega: f64,
    pub theta: f64,
    pub rho: f64,
}

First-order Greeks (plus gamma) for a single option.

Sign and unit conventions:

• delta: dimensionless; df * N(d1) (call) or df * (N(d1) - 1) (put).
• gamma: d^2 price / dF^2, per unit forward (raw, not scaled); identical for calls and puts.
• vega: price change per 1% absolute change in volatility (raw_dv_dsigma / 100); identical for calls and puts.
• theta: per-calendar-day time decay (year = 365.25 days); negative for long positions.
• rho: price change per 1% absolute change in the rate (dprice/dr / 100); negative under Black-76 (dC/dr = -T*C).

New fields may be added in future minor versions.

Fields (Non-exhaustive)

Non-exhaustive structs could have additional fields added in future. Therefore, non-exhaustive structs cannot be constructed in external crates using the traditional Struct { .. } syntax; cannot be matched against without a wildcard ..; and struct update syntax will not work.

delta: f64

Delta: sensitivity to the forward, df * N(d1) (call) or df * (N(d1) - 1) (put).

gamma: f64

Gamma: d^2 price / dF^2 = df * n(d1) / (F * sigma * sqrt(T)) (per unit forward, raw).

vega: f64

Vega: price change for a 1% absolute change in IV (per-1%, not per-1).

theta: f64

Theta: per-day price decay.

rho: f64

Rho: price change for a 1% absolute change in the rate (per-1%).

Trait Implementations

impl Clone for InstrumentGreeks

fn clone(&self) -> InstrumentGreeks

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for InstrumentGreeks

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

Formats the value using the given formatter.

impl<'de> Deserialize<'de> for InstrumentGreeks

fn deserialize<__D>(__deserializer: __D) -> Result<Self, __D::Error>

where __D: Deserializer<'de>,

Deserialize this value from the given Serde deserializer.

impl Serialize for InstrumentGreeks

fn serialize<__S>(&self, __serializer: __S) -> Result<__S::Ok, __S::Error>

where __S: Serializer,

Serialize this value into the given Serde serializer.

impl Copy for InstrumentGreeks