VaRResult

rustkernel_risk::types

Struct VaRResult 

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pub struct VaRResult {
    pub var: f64,
    pub expected_shortfall: f64,
    pub confidence_level: f64,
    pub holding_period: u32,
    pub component_var: Vec<f64>,
    pub marginal_var: Vec<f64>,
    pub percentiles: Vec<(f64, f64)>,
}
Expand description

Result of VaR calculation.

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§var: f64

Value at Risk (loss at confidence level).

§expected_shortfall: f64

Expected Shortfall (Conditional VaR).

§confidence_level: f64

Confidence level used.

§holding_period: u32

Holding period in days.

§component_var: Vec<f64>

Component VaR by asset (if available).

§marginal_var: Vec<f64>

Marginal VaR by asset (if available).

§percentiles: Vec<(f64, f64)>

P&L distribution percentiles.

Trait Implementations§

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impl Clone for VaRResult

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fn clone(&self) -> VaRResult

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 VaRResult

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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 VaRResult

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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 VaRResult

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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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Gets the TypeId of self. Read more
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type ArchivedMetadata = ()

The archived version of the pointer metadata for this type.
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Converts some archived metadata to the pointer metadata for itself.
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where T: ?Sized,

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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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Deserializes using the given deserializer
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Calls U::from(self).

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type Metadata = ()

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