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PositionRiskContribution

fin_primitives::attribution

Struct PositionRiskContribution 

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pub struct PositionRiskContribution {
    pub id: String,
    pub weight: f64,
    pub marginal_risk_contribution: f64,
    pub pct_risk_contribution: f64,
}
Expand description

Per-position marginal risk contribution.

For a portfolio with covariance matrix Σ and weight vector w, the marginal risk contribution of position i is:

MRC_i = w_i * (Σw)_i / σ_p

where σ_p = sqrt(w' Σ w) is portfolio volatility.

The sum of all MRC_i equals portfolio volatility (Euler decomposition).

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§id: String

Position identifier (e.g., ticker symbol).

§weight: f64

Portfolio weight in [0.0, 1.0] (short positions as negative).

§marginal_risk_contribution: f64

Marginal risk contribution as a fraction of portfolio volatility.

§pct_risk_contribution: f64

Percentage risk contribution: MRC_i / σ_p * 100.

Trait Implementations§

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impl Clone for PositionRiskContribution

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fn clone(&self) -> Self

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 PositionRiskContribution

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

Formats the value using the given formatter. Read more

Auto Trait Implementations§

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impl<T> Any for T
where T: 'static + ?Sized,

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fn type_id(&self) -> TypeId

Gets the TypeId of self. Read more
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impl<T> Borrow<T> for T
where T: ?Sized,

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fn borrow(&self) -> &T

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impl<T> BorrowMut<T> for T
where T: ?Sized,

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fn borrow_mut(&mut self) -> &mut T

Mutably borrows from an owned value. Read more
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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

Calls U::from(self).

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

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

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type Owned = T

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fn to_owned(&self) -> T

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fn clone_into(&self, target: &mut T)

Uses borrowed data to replace owned data, usually by cloning. Read more
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impl<T, U> TryFrom<U> for T
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type Error = !

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fn try_from(value: U) -> Result<T, !>

Performs the conversion.
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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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