MonteCarloVaRState

rustkernel_risk::market

Struct MonteCarloVaRState 

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pub struct MonteCarloVaRState {
    pub portfolio: Option<Portfolio>,
    pub var: f64,
    pub es: f64,
    pub confidence_level: f64,
    pub holding_period: u32,
    pub is_stale: bool,
    pub n_simulations: u32,
}
Expand description

Monte Carlo VaR state for Ring mode operations.

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§portfolio: Option<Portfolio>

Current portfolio.

§var: f64

Cached VaR result.

§es: f64

Cached Expected Shortfall.

§confidence_level: f64

Confidence level used for cached result.

§holding_period: u32

Holding period used for cached result.

§is_stale: bool

Whether cached result is stale.

§n_simulations: u32

Number of simulations used.

Trait Implementations§

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impl Clone for MonteCarloVaRState

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fn clone(&self) -> MonteCarloVaRState

Returns a duplicate of the value. Read more
1.0.0 · Source§

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

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

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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 Default for MonteCarloVaRState

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fn default() -> MonteCarloVaRState

Returns the “default value” for a type. Read more

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impl<T> Any for T
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type ArchivedMetadata = ()

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unsafe fn clone_to_uninit(&self, dest: *mut u8)

🔬This is a nightly-only experimental API. (clone_to_uninit)
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