Struct MonteCarloVaR 

pub struct MonteCarloVaR { /* private fields */ }

Monte Carlo Value at Risk kernel.

Simulates portfolio P&L using correlated random variates.

Implementations

impl MonteCarloVaR

pub fn new() -> Self

Create a new Monte Carlo VaR kernel.

pub fn initialize(&self, portfolio: Portfolio)

Initialize the kernel with a portfolio for Ring mode operations.

pub fn update_position(&self, asset_id: u64, new_value: f64) -> bool

Update a position value in the portfolio.

pub fn cached_var(&self) -> (f64, f64, bool)

Get cached VaR result.

pub fn recalculate( &self, confidence_level: f64, holding_period: u32, n_simulations: u32, ) -> (f64, f64)

Recalculate VaR using given parameters.

pub fn compute(portfolio: &Portfolio, params: VaRParams) -> VaRResult

Calculate VaR using Monte Carlo simulation.

Arguments

• portfolio - Portfolio to analyze
• params - VaR calculation parameters

Trait Implementations

impl BatchKernel<MonteCarloVaRInput, MonteCarloVaROutput> for MonteCarloVaR

fn execute<'life0, 'async_trait>( &'life0 self, input: MonteCarloVaRInput, ) -> Pin<Box<dyn Future<Output = Result<MonteCarloVaROutput>> + Send + 'async_trait>>

where Self: 'async_trait, 'life0: 'async_trait,

Execute the kernel with the given input.

fn validate_input(&self, _input: &I) -> Result<(), KernelError>

Validate the input before execution.

impl Clone for MonteCarloVaR

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 MonteCarloVaR

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

Formats the value using the given formatter.

impl Default for MonteCarloVaR

fn default() -> Self

Returns the “default value” for a type.

impl GpuKernel for MonteCarloVaR

fn metadata(&self) -> &KernelMetadata

Returns the kernel metadata.

fn validate(&self) -> Result<(), KernelError>

Validate kernel configuration.

fn id(&self) -> &str

Returns the kernel ID.

fn requires_gpu_native(&self) -> bool

Returns true if this kernel requires GPU-native execution.

impl RingKernelHandler<K2KMarketUpdate, K2KMarketUpdateAck> for MonteCarloVaR

RingKernelHandler for K2K market updates.

Processes streaming market data for real-time VaR adjustments.

fn handle<'life0, 'life1, 'async_trait>( &'life0 self, _ctx: &'life1 mut RingContext<'_>, msg: K2KMarketUpdate, ) -> Pin<Box<dyn Future<Output = Result<K2KMarketUpdateAck>> + Send + 'async_trait>>

where Self: 'async_trait, 'life0: 'async_trait, 'life1: 'async_trait,

Handle an incoming message.

fn initialize<'life0, 'life1, 'async_trait>( &'life0 self, _ctx: &'life1 mut RingContext<'_>, ) -> Pin<Box<dyn Future<Output = Result<(), KernelError>> + Send + 'async_trait>>

where 'life0: 'async_trait, 'life1: 'async_trait, Self: Sync + 'async_trait,

Initialize the kernel state.

fn shutdown<'life0, 'life1, 'async_trait>( &'life0 self, _ctx: &'life1 mut RingContext<'_>, ) -> Pin<Box<dyn Future<Output = Result<(), KernelError>> + Send + 'async_trait>>

where 'life0: 'async_trait, 'life1: 'async_trait, Self: Sync + 'async_trait,

Called when the kernel is being shut down.

impl RingKernelHandler<K2KVaRAggregation, K2KVaRAggregationResponse> for MonteCarloVaR

RingKernelHandler for K2K partial VaR aggregation.

Used in distributed VaR calculation to aggregate partial results.

fn handle<'life0, 'life1, 'async_trait>( &'life0 self, _ctx: &'life1 mut RingContext<'_>, msg: K2KVaRAggregation, ) -> Pin<Box<dyn Future<Output = Result<K2KVaRAggregationResponse>> + Send + 'async_trait>>

where Self: 'async_trait, 'life0: 'async_trait, 'life1: 'async_trait,

Handle an incoming message.

fn initialize<'life0, 'life1, 'async_trait>( &'life0 self, _ctx: &'life1 mut RingContext<'_>, ) -> Pin<Box<dyn Future<Output = Result<(), KernelError>> + Send + 'async_trait>>

where 'life0: 'async_trait, 'life1: 'async_trait, Self: Sync + 'async_trait,

Initialize the kernel state.

fn shutdown<'life0, 'life1, 'async_trait>( &'life0 self, _ctx: &'life1 mut RingContext<'_>, ) -> Pin<Box<dyn Future<Output = Result<(), KernelError>> + Send + 'async_trait>>

where 'life0: 'async_trait, 'life1: 'async_trait, Self: Sync + 'async_trait,

Called when the kernel is being shut down.

impl RingKernelHandler<QueryVaRRing, QueryVaRResponse> for MonteCarloVaR

RingKernelHandler for VaR queries.

Returns current cached VaR or triggers recalculation.

fn handle<'life0, 'life1, 'async_trait>( &'life0 self, _ctx: &'life1 mut RingContext<'_>, msg: QueryVaRRing, ) -> Pin<Box<dyn Future<Output = Result<QueryVaRResponse>> + Send + 'async_trait>>

where Self: 'async_trait, 'life0: 'async_trait, 'life1: 'async_trait,

Handle an incoming message.

fn initialize<'life0, 'life1, 'async_trait>( &'life0 self, _ctx: &'life1 mut RingContext<'_>, ) -> Pin<Box<dyn Future<Output = Result<(), KernelError>> + Send + 'async_trait>>

where 'life0: 'async_trait, 'life1: 'async_trait, Self: Sync + 'async_trait,

Initialize the kernel state.

fn shutdown<'life0, 'life1, 'async_trait>( &'life0 self, _ctx: &'life1 mut RingContext<'_>, ) -> Pin<Box<dyn Future<Output = Result<(), KernelError>> + Send + 'async_trait>>

where 'life0: 'async_trait, 'life1: 'async_trait, Self: Sync + 'async_trait,

Called when the kernel is being shut down.

impl RingKernelHandler<RecalculateVaRRing, RecalculateVaRResponse> for MonteCarloVaR

RingKernelHandler for VaR recalculation.

Triggers full Monte Carlo simulation with given parameters.

fn handle<'life0, 'life1, 'async_trait>( &'life0 self, _ctx: &'life1 mut RingContext<'_>, msg: RecalculateVaRRing, ) -> Pin<Box<dyn Future<Output = Result<RecalculateVaRResponse>> + Send + 'async_trait>>

where Self: 'async_trait, 'life0: 'async_trait, 'life1: 'async_trait,

Handle an incoming message.

fn initialize<'life0, 'life1, 'async_trait>( &'life0 self, _ctx: &'life1 mut RingContext<'_>, ) -> Pin<Box<dyn Future<Output = Result<(), KernelError>> + Send + 'async_trait>>

where 'life0: 'async_trait, 'life1: 'async_trait, Self: Sync + 'async_trait,

Initialize the kernel state.

fn shutdown<'life0, 'life1, 'async_trait>( &'life0 self, _ctx: &'life1 mut RingContext<'_>, ) -> Pin<Box<dyn Future<Output = Result<(), KernelError>> + Send + 'async_trait>>

where 'life0: 'async_trait, 'life1: 'async_trait, Self: Sync + 'async_trait,

Called when the kernel is being shut down.

impl RingKernelHandler<UpdatePositionRing, UpdatePositionResponse> for MonteCarloVaR

RingKernelHandler for position updates.

Enables streaming position updates for real-time VaR.

fn handle<'life0, 'life1, 'async_trait>( &'life0 self, _ctx: &'life1 mut RingContext<'_>, msg: UpdatePositionRing, ) -> Pin<Box<dyn Future<Output = Result<UpdatePositionResponse>> + Send + 'async_trait>>

where Self: 'async_trait, 'life0: 'async_trait, 'life1: 'async_trait,

Handle an incoming message.

fn initialize<'life0, 'life1, 'async_trait>( &'life0 self, _ctx: &'life1 mut RingContext<'_>, ) -> Pin<Box<dyn Future<Output = Result<(), KernelError>> + Send + 'async_trait>>

where 'life0: 'async_trait, 'life1: 'async_trait, Self: Sync + 'async_trait,

Initialize the kernel state.

fn shutdown<'life0, 'life1, 'async_trait>( &'life0 self, _ctx: &'life1 mut RingContext<'_>, ) -> Pin<Box<dyn Future<Output = Result<(), KernelError>> + Send + 'async_trait>>

where 'life0: 'async_trait, 'life1: 'async_trait, Self: Sync + 'async_trait,

Called when the kernel is being shut down.