Struct PathSimulationSummary 

pub struct PathSimulationSummary {
    pub initial_equity: f64,
    pub horizon_steps: usize,
    pub num_simulations: usize,
    pub seed: u64,
    pub terminal_equity_quantiles: (f64, f64, f64, f64, f64),
    pub max_drawdown_quantiles: (f64, f64, f64),
    pub empirical_mean_terminal_equity: f64,
}

Summary of Monte-Carlo equity path simulations.

Fields

initial_equity: f64

Initial starting equity.

horizon_steps: usize

Horizon steps simulated for each path.

num_simulations: usize

Total number of simulated paths.

seed: u64

Deterministic RNG seed used.

terminal_equity_quantiles: (f64, f64, f64, f64, f64)

Quantiles of terminal ending equity: (p05, p25, median, p75, p95).

max_drawdown_quantiles: (f64, f64, f64)

Quantiles of maximum drawdown across paths: (p05, median, p95).

empirical_mean_terminal_equity: f64

Probability that maximum drawdown exceeds a given threshold during the path.

Implementations

impl PathSimulationSummary

pub fn probability_drawdown_exceeds( all_max_drawdowns: &[f64], threshold_pct: f64, ) -> f64

Calculates the empirical fraction of paths where maximum drawdown exceeded threshold_pct (e.g. 0.20 for 20%).

Trait Implementations

impl Clone for PathSimulationSummary

fn clone(&self) -> PathSimulationSummary

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for PathSimulationSummary

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

Formats the value using the given formatter.

impl<'de> Deserialize<'de> for PathSimulationSummary

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

where __D: Deserializer<'de>,

Deserialize this value from the given Serde deserializer.

impl PartialEq for PathSimulationSummary

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

Equality operator ==.

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

Inequality operator !=.

impl Serialize for PathSimulationSummary

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 PathSimulationSummary