Struct ScenarioEngine 

pub struct ScenarioEngine;

Engine that applies scenarios to portfolio prices and computes P&L impact.

Example

use std::collections::HashMap;
use fin_primitives::scenario::{ScenarioEngine, ShockType};

let engine = ScenarioEngine;
let shocked = engine.apply_shock(100.0, &ShockType::RelativeShift(-0.30));
assert!((shocked - 70.0).abs() < 1e-9);

Implementations

impl ScenarioEngine

pub fn apply_shock(&self, price: f64, shock: &ShockType) -> f64

Apply a single shock to a base price and return the shocked price.

pub fn run_scenario( &self, portfolio: &HashMap<String, f64>, scenario: &Scenario, ) -> HashMap<String, f64>

Apply all shocks in a scenario to every matching asset in the portfolio.

Returns a new HashMap with shocked prices. Assets not mentioned in the scenario retain their original prices.

pub fn scenario_pnl( &self, original: &HashMap<String, f64>, shocked: &HashMap<String, f64>, positions: &HashMap<String, f64>, ) -> f64

Compute the P&L impact of a scenario on a set of positions.

P&L = Σ positions[asset] * (shocked_price[asset] - original_price[asset])

Assets present in positions but absent from either price map are skipped.

pub fn worst_case<'a>( &self, portfolio: &HashMap<String, f64>, scenarios: &'a [Scenario], positions: &HashMap<String, f64>, ) -> (&'a Scenario, f64)

Find the worst-case scenario (most negative P&L) from a list of scenarios.

Returns a reference to the worst scenario and its P&L.

Panics

Panics if scenarios is empty.