PortfolioRiskResult

rustkernel_risk::types

Struct PortfolioRiskResult

pub struct PortfolioRiskResult {
    pub portfolio_var: f64,
    pub portfolio_es: f64,
    pub undiversified_var: f64,
    pub diversification_benefit: f64,
    pub asset_vars: Vec<f64>,
    pub risk_contributions: Vec<f64>,
    pub covariance_matrix: Vec<f64>,
}

Expand description

Portfolio risk aggregation result.

Fields§

§portfolio_var: f64

Total portfolio VaR.

§portfolio_es: f64

Portfolio Expected Shortfall.

§undiversified_var: f64

Undiversified VaR (sum of individual VaRs).

§diversification_benefit: f64

Diversification benefit (undiversified - portfolio).

§asset_vars: Vec<f64>

Individual asset VaRs.

§risk_contributions: Vec<f64>

Risk contributions by asset.

§covariance_matrix: Vec<f64>

Correlation-adjusted covariance matrix.

Trait Implementations§

impl Clone for PortfolioRiskResult

fn clone(&self) -> PortfolioRiskResult

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

impl Debug for PortfolioRiskResult

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

Formats the value using the given formatter. Read more

impl<'de> Deserialize<'de> for PortfolioRiskResult

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

Deserialize this value from the given Serde deserializer. Read more

impl Serialize for PortfolioRiskResult

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

Serialize this value into the given Serde serializer. Read more

Auto Trait Implementations§

impl Freeze for PortfolioRiskResult

impl RefUnwindSafe for PortfolioRiskResult

impl Send for PortfolioRiskResult

impl Sync for PortfolioRiskResult

impl Unpin for PortfolioRiskResult

impl UnwindSafe for PortfolioRiskResult

Blanket Implementations§

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

fn type_id(&self) -> TypeId

Gets the TypeId of self. Read more

impl<T> ArchivePointee for T

type ArchivedMetadata = ()

The archived version of the pointer metadata for this type.

fn pointer_metadata( _: &<T as ArchivePointee>::ArchivedMetadata, ) -> <T as Pointee>::Metadata

Converts some archived metadata to the pointer metadata for itself.

impl<T> Borrow<T> for T
where T: ?Sized,

fn borrow(&self) -> &T

Immutably borrows from an owned value. Read more

impl<T> BorrowMut<T> for T
where T: ?Sized,

fn borrow_mut(&mut self) -> &mut T

Mutably borrows from an owned value. Read more

impl<T> CloneToUninit for T
where T: Clone,

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

impl<F, W, T, D> Deserialize<With<T, W>, D> for F
where W: DeserializeWith<F, T, D>, D: Fallible + ?Sized, F: ?Sized,

fn deserialize( &self, deserializer: &mut D, ) -> Result<With<T, W>, <D as Fallible>::Error>

Deserializes using the given deserializer

impl<T> From<T> for T

fn from(t: T) -> T

Returns the argument unchanged.

impl<T> Instrument for T

fn instrument(self, span: Span) -> Instrumented<Self>

Instruments this type with the provided Span, returning an Instrumented wrapper. Read more

fn in_current_span(self) -> Instrumented<Self>

Instruments this type with the current Span, returning an Instrumented wrapper. Read more

impl<T, U> Into<U> for T
where U: From<T>,

fn into(self) -> U

Calls U::from(self).

That is, this conversion is whatever the implementation of From<T> for U chooses to do.

impl<T> LayoutRaw for T

fn layout_raw(_: <T as Pointee>::Metadata) -> Result<Layout, LayoutError>

Gets the layout of the type.

impl<T> Pointee for T

type Metadata = ()

The type for metadata in pointers and references to Self.

impl<T> ToOwned for T
where T: Clone,

type Owned = T

The resulting type after obtaining ownership.

fn to_owned(&self) -> T

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fn clone_into(&self, target: &mut T)

Uses borrowed data to replace owned data, usually by cloning. Read more

impl<T, U> TryFrom<U> for T
where U: Into<T>,

type Error = Infallible

The type returned in the event of a conversion error.

fn try_from(value: U) -> Result<T, <T as TryFrom<U>>::Error>

Performs the conversion.

impl<T, U> TryInto<U> for T
where U: TryFrom<T>,

type Error = <U as TryFrom<T>>::Error

The type returned in the event of a conversion error.

fn try_into(self) -> Result<U, <U as TryFrom<T>>::Error>

Performs the conversion.

impl<V, T> VZip<V> for T
where V: MultiLane<T>,

fn vzip(self) -> V

impl<T> WithSubscriber for T

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where S: Into<Dispatch>,

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impl<T> DeserializeOwned for T
where T: for<'de> Deserialize<'de>,