Struct InterestRateRisk 

pub struct InterestRateRisk { /* private fields */ }

Interest rate risk kernel.

Calculates duration, convexity, and gap analysis for IR-sensitive positions.

Implementations

impl InterestRateRisk

pub fn new() -> Self

Create a new interest rate risk kernel.

pub fn calculate_metrics( positions: &[IRPosition], config: &IRRiskConfig, ) -> IRRiskMetrics

Calculate interest rate risk metrics.

pub fn gap_analysis( positions: &[IRPosition], config: &IRRiskConfig, ) -> Vec<GapBucket>

Perform gap analysis.

pub fn parallel_shift_sensitivity( positions: &[IRPosition], config: &IRRiskConfig, shift_bps: f64, ) -> ShiftSensitivity

Calculate sensitivity to parallel shift.

pub fn key_rate_durations( positions: &[IRPosition], config: &IRRiskConfig, tenors: &[u32], ) -> HashMap<u32, f64>

Calculate key rate duration (sensitivity to specific tenor).

Trait Implementations

impl Clone for InterestRateRisk

fn clone(&self) -> InterestRateRisk

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for InterestRateRisk

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

Formats the value using the given formatter.

impl Default for InterestRateRisk

fn default() -> Self

Returns the “default value” for a type.

impl GpuKernel for InterestRateRisk

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.

fn health_check(&self) -> HealthStatus

Perform a health check on this kernel.

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

Graceful shutdown of the kernel.

fn refresh_config(&mut self, _config: &KernelConfig) -> Result<(), KernelError>

Refresh kernel configuration at runtime.