List of all items

Structs

• backtesting::metrics::AdvancedRiskMetrics
• backtesting::metrics::BenchmarkComparison
• backtesting::metrics::GeneralPerformanceMetrics
• backtesting::metrics::MarketConditionMetrics
• backtesting::metrics::OptionsSpecificMetrics
• backtesting::metrics::RollingMetrics
• backtesting::results::BacktestResult
• backtesting::results::SimulationResult
• backtesting::results::SimulationStatsResult
• backtesting::types::CapitalUtilization
• backtesting::types::DrawdownAnalysis
• backtesting::types::DrawdownEvent
• backtesting::types::TimeSeriesData
• backtesting::types::TradeRecord
• backtesting::types::TradeStatistics
• backtesting::types::VolatilityData
• chains::DeltasInStrike
• chains::OptionData
• chains::OptionsInStrike
• chains::RNDParameters
• chains::RNDResult
• chains::chain::OptionChain
• chains::utils::OptionChainBuildParams
• chains::utils::OptionDataPriceParams
• chains::utils::RandomPositionsParams
• curves::Curve
• curves::Point2D
• geometrics::AnalysisResult
• geometrics::BasicMetrics
• geometrics::Metrics
• geometrics::PlotBuilder
• geometrics::RangeMetrics
• geometrics::RiskMetrics
• geometrics::ShapeMetrics
• geometrics::TrendMetrics
• greeks::Greek
• greeks::GreeksSnapshot
• model::Balance
• model::MarginInfo
• model::Portfolio
• model::ProfitLossRange
• model::Trade
• model::leg::FuturePosition
• model::leg::PerpetualPosition
• model::leg::SpotPosition
• model::option::ExoticParams
• model::option::Options
• model::position::Position
• model::types::OptionBasicType
• pnl::PnLMetrics
• pnl::PnLMetricsDocument
• pnl::PnLMetricsStep
• pnl::Transaction
• pnl::model::PnLRange
• pnl::utils::PnL
• prelude::Decimal
• prelude::Path
• prelude::PayoffInfo
• prelude::Positive
• prelude::Utc
• pricing::PayoffInfo
• pricing::binomial_model::BinomialPricingParams
• pricing::telegraph::TelegraphProcess
• risk::RiskMetricsSimulation
• risk::SPANMargin
• series::OptionSeries
• series::OptionSeriesBuildParams
• simulation::SimulationStats
• simulation::WalkParams
• simulation::WalkPath
• simulation::randomwalk::RandomWalk
• simulation::simulator::Simulator
• simulation::steps::Step
• simulation::steps::Xstep
• simulation::steps::Ystep
• strategies::StrategyRequest
• strategies::base::Strategy
• strategies::base::StrategyBasics
• strategies::bear_call_spread::BearCallSpread
• strategies::bear_put_spread::BearPutSpread
• strategies::bull_call_spread::BullCallSpread
• strategies::bull_put_spread::BullPutSpread
• strategies::call_butterfly::CallButterfly
• strategies::collar::Collar
• strategies::covered_call::CoveredCall
• strategies::custom::CustomStrategy
• strategies::delta_neutral::DeltaInfo
• strategies::delta_neutral::DeltaNeutralResponse
• strategies::delta_neutral::DeltaPositionInfo
• strategies::delta_neutral::adjustment::AdjustmentConfig
• strategies::delta_neutral::adjustment::AdjustmentPlan
• strategies::delta_neutral::optimizer::AdjustmentOptimizer
• strategies::delta_neutral::portfolio::AdjustmentTarget
• strategies::delta_neutral::portfolio::PortfolioGreeks
• strategies::iron_butterfly::IronButterfly
• strategies::iron_condor::IronCondor
• strategies::long_butterfly_spread::LongButterflySpread
• strategies::long_call::LongCall
• strategies::long_put::LongPut
• strategies::long_straddle::LongStraddle
• strategies::long_strangle::LongStrangle
• strategies::poor_mans_covered_call::PoorMansCoveredCall
• strategies::probabilities::PriceTrend
• strategies::probabilities::StrategyProbabilityAnalysis
• strategies::probabilities::VolatilityAdjustment
• strategies::protective_put::ProtectivePut
• strategies::short_butterfly_spread::ShortButterflySpread
• strategies::short_call::ShortCall
• strategies::short_put::ShortPut
• strategies::short_straddle::ShortStraddle
• strategies::short_strangle::ShortStrangle
• surfaces::Point3D
• surfaces::Surface
• utils::OhlcvCandle
• visualization::GraphConfig
• visualization::Label2D
• visualization::Label3D
• visualization::Series2D
• visualization::Surface3D
• visualization::VisPoint2D
• visualization::VisPoint3D

Enums

• ExpirationDate
• OptionStyle
• OptionType
• RainbowType
• Side
• backtesting::types::ExitReason
• chains::StrategyLegs
• chains::utils::OptionDataGroup
• error::GraphError
• error::InterpolationError
• error::MetricsError
• error::OhlcvError
• error::OperationErrorKind
• error::OptionsError
• error::SurfaceError
• error::TransactionError
• error::VolatilityError
• error::chains::ChainBuildErrorKind
• error::chains::ChainError
• error::chains::FileErrorKind
• error::chains::OptionDataErrorKind
• error::chains::StrategyErrorKind
• error::curves::CurveError
• error::decimal::DecimalError
• error::greeks::CalculationErrorKind
• error::greeks::DeltaNeutralityErrorKind
• error::greeks::GreeksError
• error::greeks::InputErrorKind
• error::greeks::MathErrorKind
• error::position::PositionError
• error::position::PositionLimitErrorKind
• error::position::PositionUpdateErrorKind
• error::position::PositionValidationErrorKind
• error::position::StrategyErrorKind
• error::pricing::PricingError
• error::probability::ExpirationErrorKind
• error::probability::PriceErrorKind
• error::probability::ProbabilityCalculationErrorKind
• error::probability::ProbabilityError
• error::probability::ProfitLossRangeErrorKind
• error::simulation::SimulationError
• error::strategies::BreakEvenErrorKind
• error::strategies::PriceErrorKind
• error::strategies::ProfitLossErrorKind
• error::strategies::StrategyError
• error::trade::TradeError
• error::unified::Error
• geometrics::ConstructionMethod
• geometrics::ConstructionParams
• geometrics::InterpolationType
• geometrics::MergeOperation
• model::BasicAxisTypes
• model::ExpirationDate
• model::ExpirationDateError
• model::OptionStyle
• model::OptionType
• model::RainbowType
• model::Side
• model::TradeStatus
• model::leg::Leg
• model::leg::MarginType
• model::types::Action
• model::types::AsianAveragingType
• model::types::BarrierType
• model::types::BinaryType
• model::types::LookbackType
• model::types::OptionStyle
• model::types::OptionType
• model::types::RainbowType
• model::types::Side
• model::types::UnderlyingAssetType
• prelude::Action
• prelude::ExpirationDate
• prelude::OptionStyle
• prelude::OptionType
• prelude::Side
• pricing::unified::PricingEngine
• risk::RiskCategory
• simulation::WalkType
• simulation::exit::ExitPolicy
• strategies::base::StrategyType
• strategies::delta_neutral::DeltaAdjustment
• strategies::delta_neutral::adjustment::AdjustmentAction
• strategies::delta_neutral::adjustment::AdjustmentError
• strategies::utils::FindOptimalSide
• strategies::utils::OptimizationCriteria
• utils::time::TimeFrame
• visualization::ColorScheme
• visualization::GraphData
• visualization::LineStyle
• visualization::OutputType
• visualization::PlotType
• visualization::TraceMode

Traits

• chains::RNDAnalysis
• chains::utils::OptionChainParams
• curves::BasicCurves
• curves::Curvable
• curves::StatisticalCurve
• geometrics::Arithmetic
• geometrics::AxisOperations
• geometrics::BiLinearInterpolation
• geometrics::CubicInterpolation
• geometrics::GeometricObject
• geometrics::GeometricTransformations
• geometrics::HasX
• geometrics::Interpolate
• geometrics::LinearInterpolation
• geometrics::MergeAxisInterpolate
• geometrics::MetricsExtractor
• geometrics::Plottable
• geometrics::SplineInterpolation
• greeks::Black76Greeks
• greeks::GarmanKohlhagenGreeks
• greeks::Greeks
• metrics::composite::delta_gamma_profile::DeltaGammaProfileCurve
• metrics::composite::delta_gamma_profile::DeltaGammaProfileSurface
• metrics::composite::smile_dynamics::SmileDynamicsCurve
• metrics::composite::smile_dynamics::SmileDynamicsSurface
• metrics::composite::vanna_volga::VannaVolgaSurface
• metrics::liquidity::bid_ask_spread::BidAskSpreadCurve
• metrics::liquidity::open_interest::OpenInterestCurve
• metrics::liquidity::volume_profile::VolumeProfileCurve
• metrics::liquidity::volume_profile::VolumeProfileSurface
• metrics::price::put_call_ratio::PutCallRatioCurve
• metrics::price::strike_concentration::StrikeConcentrationCurve
• metrics::price::volatility_skew::VolatilitySkewCurve
• metrics::risk::dollar_gamma::DollarGammaCurve
• metrics::risk::implied_volatility::ImpliedVolatilityCurve
• metrics::risk::implied_volatility::ImpliedVolatilitySurface
• metrics::risk::risk_reversal::RiskReversalCurve
• metrics::stress::price_shock::PriceShockCurve
• metrics::stress::price_shock::PriceShockSurface
• metrics::stress::time_decay::TimeDecayCurve
• metrics::stress::time_decay::TimeDecaySurface
• metrics::stress::volatility_sensitivity::VolatilitySensitivityCurve
• metrics::stress::volatility_sensitivity::VolatilitySensitivitySurface
• metrics::temporal::charm::CharmCurve
• metrics::temporal::charm::CharmSurface
• metrics::temporal::color::ColorCurve
• metrics::temporal::color::ColorSurface
• metrics::temporal::theta::ThetaCurve
• metrics::temporal::theta::ThetaSurface
• model::TradeAble
• model::TradeStatusAble
• model::decimal::DecimalStats
• model::leg::traits::Expirable
• model::leg::traits::Fundable
• model::leg::traits::LegAble
• model::leg::traits::Marginable
• model::utils::ToRound
• pnl::PnLCalculator
• pnl::TransactionAble
• prelude::Payoff
• prelude::Profit
• prelude::ToPrimitive
• pricing::Payoff
• pricing::Profit
• pricing::black_76::Black76
• pricing::black_scholes_model::BlackScholes
• pricing::garman_kohlhagen::GarmanKohlhagen
• pricing::unified::Priceable
• simulation::Simulate
• simulation::WalkTypeAble
• simulation::WalkTypeAbleClone
• strategies::StrategyConstructor
• strategies::base::BasicAble
• strategies::base::BreakEvenable
• strategies::base::Optimizable
• strategies::base::Positionable
• strategies::base::Strategable
• strategies::base::Strategies
• strategies::base::Validable
• strategies::delta_neutral::DeltaNeutrality
• strategies::probabilities::ProbabilityAnalysis
• strategies::shared::ButterflyStrategy
• strategies::shared::CondorStrategy
• strategies::shared::SpreadStrategy
• strategies::shared::StraddleStrategy
• strategies::shared::StrangleStrategy
• surfaces::BasicSurfaces
• surfaces::Surfacable
• utils::Len
• visualization::Graph
• visualization::GraphType
• volatility::AtmIvProvider
• volatility::VolatilitySmile

Macros

• assert_decimal_eq
• d2f
• d2fu
• f2d
• f2du
• impl_graph_for_payoff_strategy
• nz
• prelude::assert_pos_relative_eq
• prelude::debug
• prelude::dec
• prelude::error
• prelude::info
• prelude::pos_or_panic
• prelude::spos
• prelude::trace
• prelude::warn
• test_strategy_traits

Functions

• chains::generator_optionchain
• chains::utils::adjust_volatility
• chains::utils::strike_step
• curves::create_constant_curve
• curves::create_linear_curve
• greeks::big_n
• greeks::calculate_d_values_black_76
• greeks::calculate_delta_neutral_sizes
• greeks::charm
• greeks::color
• greeks::d1
• greeks::d2
• greeks::delta
• greeks::delta_b76
• greeks::delta_gk
• greeks::gamma
• greeks::gamma_b76
• greeks::gamma_gk
• greeks::n
• greeks::numerical::numerical_delta
• greeks::numerical::numerical_gamma
• greeks::numerical::numerical_rho
• greeks::numerical::numerical_theta
• greeks::numerical::numerical_vega
• greeks::rho
• greeks::rho_b76
• greeks::rho_d
• greeks::rho_domestic_gk
• greeks::rho_foreign_gk
• greeks::theta
• greeks::theta_b76
• greeks::theta_gk
• greeks::vanna
• greeks::vega
• greeks::vega_b76
• greeks::vega_gk
• greeks::veta
• greeks::vomma
• model::decimal::decimal_normal_sample
• model::decimal::decimal_to_f64
• model::decimal::f64_to_decimal
• model::save_trades
• model::utils::calculate_optimal_price_range
• model::utils::create_sample_option
• model::utils::create_sample_option_simplest
• model::utils::create_sample_option_simplest_strike
• model::utils::create_sample_option_with_date
• model::utils::create_sample_option_with_days
• model::utils::create_sample_position
• model::utils::generate_price_points
• model::utils::mean_and_std
• model::utils::positive_f64_to_f64
• pnl::create_pnl_metrics_document
• pnl::load_pnl_metrics
• pnl::save_pnl_metrics
• pnl::save_pnl_metrics_with_document
• pricing::american::barone_adesi_whaley
• pricing::asian::asian_black_scholes
• pricing::barrier::barrier_black_scholes
• pricing::binary::binary_black_scholes
• pricing::binomial_model::generate_binomial_tree
• pricing::binomial_model::price_binomial
• pricing::black_76::black_76
• pricing::black_scholes_model::black_scholes
• pricing::chooser::chooser_black_scholes
• pricing::cliquet::cliquet_black_scholes
• pricing::compound::compound_black_scholes
• pricing::exchange::exchange_black_scholes
• pricing::garman_kohlhagen::garman_kohlhagen
• pricing::lookback::lookback_black_scholes
• pricing::monte_carlo::monte_carlo_option_pricing
• pricing::monte_carlo::price_option_monte_carlo
• pricing::power::power_black_scholes
• pricing::probability_keep_under_strike
• pricing::quanto::quanto_black_scholes
• pricing::rainbow::rainbow_black_scholes
• pricing::simulate_returns
• pricing::spread::spread_black_scholes
• pricing::telegraph::telegraph
• pricing::unified::price_option
• series::generator_optionseries
• simulation::custom_walk
• simulation::exit::check_exit_policy
• simulation::garch_walk
• simulation::generator_positive
• simulation::heston_walk
• simulation::telegraph_walk
• simulation::walk_steps
• simulation::walk_steps_par
• strategies::probabilities::calculate_price_probability
• strategies::probabilities::calculate_single_point_probability
• strategies::shared::aggregate_fees
• strategies::shared::aggregate_premiums
• strategies::shared::calculate_profit_ratio
• strategies::shared::credit_spread_break_even
• strategies::shared::debit_spread_break_even
• utils::file::prepare_file_path
• utils::logger::setup_logger
• utils::logger::setup_logger_with_level
• utils::others::approx_equal
• utils::others::calculate_log_returns
• utils::others::deterministic_rng
• utils::others::get_random_element
• utils::others::process_n_times_iter
• utils::others::random_decimal
• utils::read_ohlcv_from_zip
• utils::time::convert_time_frame
• utils::time::get_today_formatted
• utils::time::get_today_or_tomorrow_formatted
• utils::time::get_tomorrow_formatted
• utils::time::get_x_days_formatted
• utils::time::get_x_days_formatted_pos
• utils::time::units_per_year
• version
• visualization::get_color_from_scheme
• volatility::adjust_volatility
• volatility::annualized_volatility
• volatility::calculate_iv
• volatility::constant_volatility
• volatility::de_annualized_volatility
• volatility::ewma_volatility
• volatility::garch_volatility
• volatility::generate_ou_process
• volatility::historical_volatility
• volatility::implied_volatility
• volatility::simulate_heston_volatility
• volatility::uncertain_volatility_bounds
• volatility::volatility_for_dt

Type Aliases

• error::OptionsResult
• error::curves::CurvesResult
• error::decimal::DecimalResult
• error::greeks::GreeksResult
• error::pricing::PricingResult
• error::probability::ProbabilityResult
• error::simulation::SimulationResult
• error::strategies::StrategyResult
• geometrics::ResultPoint
• visualization::MultiSeries2D

Constants

• VERSION
• chains::chain::SKEW_SLOPE
• chains::chain::SKEW_SMILE_CURVE
• constants::DEFAULT_BINOMIAL_STEPS
• constants::DEFAULT_MC_PATHS
• constants::DEFAULT_MC_STEPS
• constants::EPSILON
• constants::MAX_NEWTON_ITER
• constants::PI
• constants::ZERO
• model::decimal::ONE_DAY
• strategies::bear_call_spread::BEAR_CALL_SPREAD_DESCRIPTION
• strategies::bear_put_spread::BEAR_PUT_SPREAD_DESCRIPTION
• strategies::bull_call_spread::BULL_CALL_SPREAD_DESCRIPTION
• strategies::bull_put_spread::BULL_PUT_SPREAD_DESCRIPTION
• strategies::call_butterfly::CALL_BUTTERFLY_DESCRIPTION
• strategies::collar::COLLAR_DESCRIPTION
• strategies::covered_call::COVERED_CALL_DESCRIPTION
• strategies::delta_neutral::DELTA_THRESHOLD
• strategies::iron_butterfly::IRON_BUTTERFLY_DESCRIPTION
• strategies::iron_condor::IRON_CONDOR_DESCRIPTION
• strategies::long_butterfly_spread::LONG_BUTTERFLY_DESCRIPTION
• strategies::long_straddle::LONG_STRADDLE_DESCRIPTION
• strategies::protective_put::PROTECTIVE_PUT_DESCRIPTION
• strategies::short_butterfly_spread::SHORT_BUTTERFLY_DESCRIPTION
• strategies::short_straddle::SHORT_STRADDLE_DESCRIPTION
• utils::others::DETERMINISTIC_RNG_DEFAULT_SEED