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BsmCrossGreeks

finance_solution

Struct BsmCrossGreeks 

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pub struct BsmCrossGreeks {
    pub vanna: f64,
    pub volga: f64,
    pub charm: f64,
}
Expand description

Cross / second-order BSM Greeks (vol surface & hedge-drift risk).

§Units

FieldUnit
vanna∂²V/∂S∂σ = ∂Δ/∂σ (per +1.0 absolute vol)
volga∂²V/∂σ² (per +1.0 absolute vol squared)
charm∂Δ/∂T per year of calendar time to expiry

Use BsmCrossGreeks::charm_per_calendar_day for overnight Δ drift estimates.

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§vanna: f64§volga: f64§charm: f64

∂Δ/∂T (time-to-expiry year basis). As one calendar day passes, Δ ≈ changes by −charm_per_calendar_day() if other inputs are held fixed.

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impl BsmCrossGreeks

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pub fn charm_per_calendar_day(self) -> f64

Charm scaled to one calendar day: charm / 365.25.

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impl Clone for BsmCrossGreeks

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fn clone(&self) -> BsmCrossGreeks

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 Copy for BsmCrossGreeks

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impl Debug for BsmCrossGreeks

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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 PartialEq for BsmCrossGreeks

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fn eq(&self, other: &BsmCrossGreeks) -> bool

Equality operator ==. Read more
1.0.0 (const: unstable) · Source§

fn ne(&self, other: &Rhs) -> bool

Inequality operator !=. Read more
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impl StructuralPartialEq for BsmCrossGreeks

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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

Immutably borrows from an owned value. Read more
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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

Returns the argument unchanged.

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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> IntoEither for T

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fn into_either(self, into_left: bool) -> Either<Self, Self> ⓘ

Converts self into a Left variant of Either<Self, Self> if into_left is true. Converts self into a Right variant of Either<Self, Self> otherwise. Read more
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fn into_either_with<F>(self, into_left: F) -> Either<Self, Self> ⓘ
where F: FnOnce(&Self) -> bool,

Converts self into a Left variant of Either<Self, Self> if into_left(&self) returns true. Converts self into a Right variant of Either<Self, Self> otherwise. Read more
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impl<T> ToOwned for T
where T: Clone,

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type Owned = T

The resulting type after obtaining ownership.
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fn to_owned(&self) -> T

Creates owned data from borrowed data, usually by cloning. Read more
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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 = Infallible

The type returned in the event of a conversion error.
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fn try_from(value: U) -> Result<T, <T as TryFrom<U>>::Error>

Performs the conversion.
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impl<T, U> TryInto<U> for T
where U: TryFrom<T>,

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

The type returned in the event of a conversion error.
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fn try_into(self) -> Result<U, <U as TryFrom<T>>::Error>

Performs the conversion.