Portfolio

rustkernel_risk::types

Struct Portfolio 

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pub struct Portfolio {
    pub asset_ids: Vec<u64>,
    pub values: Vec<f64>,
    pub expected_returns: Vec<f64>,
    pub volatilities: Vec<f64>,
    pub correlation_matrix: Vec<f64>,
}
Expand description

A portfolio of assets for risk analysis.

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§asset_ids: Vec<u64>

Asset identifiers.

§values: Vec<f64>

Position values (notional or market value).

§expected_returns: Vec<f64>

Expected returns per asset.

§volatilities: Vec<f64>

Volatilities per asset.

§correlation_matrix: Vec<f64>

Correlation matrix (flattened, row-major).

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impl Portfolio

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pub fn new( asset_ids: Vec<u64>, values: Vec<f64>, expected_returns: Vec<f64>, volatilities: Vec<f64>, correlation_matrix: Vec<f64>, ) -> Self

Create a new portfolio.

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pub fn n_assets(&self) -> usize

Get the number of assets in the portfolio.

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pub fn total_value(&self) -> f64

Get total portfolio value.

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pub fn weights(&self) -> Vec<f64>

Get portfolio weights.

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pub fn correlation(&self, i: usize, j: usize) -> f64

Get correlation between two assets.

Trait Implementations§

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impl Clone for Portfolio

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fn clone(&self) -> Portfolio

Returns a duplicate of the value. Read more
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fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source. Read more
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impl Debug for Portfolio

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

Formats the value using the given formatter. Read more
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impl<'de> Deserialize<'de> for Portfolio

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fn deserialize<__D>(__deserializer: __D) -> Result<Self, __D::Error>
where __D: Deserializer<'de>,

Deserialize this value from the given Serde deserializer. Read more
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impl Serialize for Portfolio

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

Serialize this value into the given Serde serializer. Read more

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impl<T> Any for T
where T: 'static + ?Sized,

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type ArchivedMetadata = ()

The archived version of the pointer metadata for this type.
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unsafe fn clone_to_uninit(&self, dest: *mut u8)

🔬This is a nightly-only experimental API. (clone_to_uninit)
Performs copy-assignment from self to dest. Read more
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