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PortfolioAnalytics

quant_metrics::analytics

Struct PortfolioAnalytics 

Source 
pub struct PortfolioAnalytics {
    pub attribution: HashMap<String, Decimal>,
    pub correlation_matrix: Vec<Vec<f64>>,
    pub leg_labels: Vec<String>,
    pub diversification: DiversificationMetrics,
    pub drawdown_overlap_periods: usize,
    pub tail_risk: TailRiskMetrics,
}
Expand description

Full portfolio analytics result.

Fields§

§attribution: HashMap<String, Decimal>

Per-leg P&L contribution (name -> percentage).

§correlation_matrix: Vec<Vec<f64>>

Pairwise correlation matrix (NxN).

§leg_labels: Vec<String>

Leg labels (in order matching correlation matrix indices).

§diversification: DiversificationMetrics

Diversification metrics.

§drawdown_overlap_periods: usize

Number of periods where 2+ legs are simultaneously in drawdown.

§tail_risk: TailRiskMetrics

Tail risk metrics.

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