RustyQLib 0.0.3

RustyQLib is a lightweight yet robust quantitative finance library designed to price derivatives and perform risk analysis
Documentation 
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# Stress MtM scenario definitions.
#
# factor: spot | vol | rate | time     (time size is in days, absolute)
# mode:   relative | absolute
# underlying: optional symbol filter ("*" or omitted = every underlying)
# tenors: optional key-rate tenors (years) on a rate shock — bumps only
#         that part of the curve; shifts gives per-tenor sizes (default:
#         size at every tenor)

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

[[scenarios]]
name = "equity_crash"

[[scenarios.shocks]]
factor = "spot"
mode = "relative"
size = -0.20

[[scenarios.shocks]]
factor = "vol"
mode = "absolute"
size = 0.10

[[scenarios]]
name = "melt_up"

[[scenarios.shocks]]
factor = "spot"
mode = "relative"
size = 0.10

[[scenarios.shocks]]
factor = "vol"
mode = "absolute"
size = -0.05

[[scenarios]]
name = "rates_plus_100bp"

[[scenarios.shocks]]
factor = "rate"
mode = "absolute"
size = 0.01

[[scenarios]]
name = "front_end_plus_50bp"       # key-rate: only the 1y-2y sector moves

[[scenarios.shocks]]
factor = "rate"
mode = "absolute"
size = 0.005
tenors = [1.0, 2.0]

[[scenarios]]
name = "one_month_decay"

[[scenarios.shocks]]
factor = "time"
mode = "absolute"
size = 30.0