IRRiskMetrics

rustkernel_treasury::types

Struct IRRiskMetrics 

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pub struct IRRiskMetrics {
    pub duration: f64,
    pub modified_duration: f64,
    pub convexity: f64,
    pub dv01: f64,
    pub pv01_by_currency: HashMap<String, f64>,
    pub gap_by_bucket: Vec<GapBucket>,
}
Expand description

Interest rate risk metrics.

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§duration: f64

Total duration.

§modified_duration: f64

Modified duration.

§convexity: f64

Convexity.

§dv01: f64

DV01 (dollar value of 1bp).

§pv01_by_currency: HashMap<String, f64>

PV01 by currency.

§gap_by_bucket: Vec<GapBucket>

Gap analysis by time bucket.

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impl Clone for IRRiskMetrics

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fn clone(&self) -> IRRiskMetrics

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 IRRiskMetrics

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

Formats the value using the given formatter. Read more

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