Struct OptionGreeks 

pub struct OptionGreeks {
    pub delta: f64,
    pub gamma: f64,
    pub vega: f64,
    pub theta_annual: f64,
    pub theta_daily: f64,
    pub rho: f64,
}

First- and second-order price sensitivities (Greeks).

Fields

delta: f64

Delta ($\partial V / \partial S$): Sensitivity to underlying spot price.

gamma: f64

Gamma ($\partial^2 V / \partial S^2$): Rate of change of Delta.

vega: f64

Vega ($\partial V / \partial \sigma$): Sensitivity to a 1.0 (100 percentage point) change in volatility.

theta_annual: f64

Theta ($\partial V / \partial t$): Annualized rate of time decay (negative for standard long options).

theta_daily: f64

Theta per calendar day (theta_annual / 365.0).

rho: f64

Rho ($\partial V / \partial r$): Sensitivity to a 1.0 (100 percentage point) change in risk-free rate.

Trait Implementations

impl Clone for OptionGreeks

fn clone(&self) -> OptionGreeks

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Copy for OptionGreeks

impl Debug for OptionGreeks

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

Formats the value using the given formatter.

impl<'de> Deserialize<'de> for OptionGreeks

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

where __D: Deserializer<'de>,

Deserialize this value from the given Serde deserializer.

impl PartialEq for OptionGreeks

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

Equality operator ==.

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

Inequality operator !=.

impl Serialize for OptionGreeks

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

where __S: Serializer,

Serialize this value into the given Serde serializer.

impl StructuralPartialEq for OptionGreeks