Struct AdvancedRiskMetrics 

pub struct AdvancedRiskMetrics {
    pub value_at_risk_95: Option<Decimal>,
    pub value_at_risk_99: Option<Decimal>,
    pub expected_shortfall: Option<Decimal>,
    pub tail_ratio: Option<Decimal>,
    pub max_consecutive_losses: usize,
    pub ulcer_index: Option<Decimal>,
    pub pain_index: Option<Decimal>,
}

Represents a collection of advanced risk metrics for assessing investment performance, focusing on downside risk and tail events beyond simple standard deviation.

Fields

value_at_risk_95: Option<Decimal>

Value at Risk (VaR) at the 95% confidence level. Represents the maximum potential loss over a specific time period with 95% confidence. None if not calculated.

value_at_risk_99: Option<Decimal>

Value at Risk (VaR) at the 99% confidence level. Represents the maximum potential loss over a specific time period with 99% confidence. None if not calculated.

expected_shortfall: Option<Decimal>

Expected Shortfall (ES), also known as Conditional Value at Risk (CVaR). Represents the expected loss given that the loss exceeds the VaR threshold (typically calculated at the 95% or 99% level). None if not calculated.

tail_ratio: Option<Decimal>

The ratio of the 95th percentile gain to the absolute value of the 5th percentile loss. Provides insight into the symmetry of the return distribution’s tails. None if not calculated.

max_consecutive_losses: usize

The maximum number of consecutive periods (e.g., days, weeks) with negative returns.

ulcer_index: Option<Decimal>

The Ulcer Index, measuring the depth and duration of drawdowns from peak values. Higher values indicate more significant and prolonged drawdowns. None if not calculated.

pain_index: Option<Decimal>

The Pain Index, similar to the Ulcer Index, measuring the average depth and duration of drawdowns. None if not calculated.

Trait Implementations

impl Clone for AdvancedRiskMetrics

fn clone(&self) -> Self

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for AdvancedRiskMetrics

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

Formats the value using the given formatter.

impl Default for AdvancedRiskMetrics

fn default() -> Self

Returns the “default value” for a type.

impl<'de> Deserialize<'de> for AdvancedRiskMetrics

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

where __D: Deserializer<'de>,

Deserialize this value from the given Serde deserializer.

impl Serialize for AdvancedRiskMetrics

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

where __S: Serializer,

Serialize this value into the given Serde serializer.