Struct InstrumentGreeksParams

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pub struct InstrumentGreeksParams {Show 15 fields
    pub instrument_id: InstrumentId,
    pub flat_interest_rate: f64,
    pub flat_dividend_yield: Option<f64>,
    pub spot_shock: f64,
    pub vol_shock: f64,
    pub time_to_expiry_shock: f64,
    pub use_cached_greeks: bool,
    pub cache_greeks: bool,
    pub publish_greeks: bool,
    pub ts_event: Option<UnixNanos>,
    pub position: Option<Position>,
    pub percent_greeks: bool,
    pub index_instrument_id: Option<InstrumentId>,
    pub beta_weights: Option<HashMap<InstrumentId, f64>>,
    pub vega_time_weight_base: Option<i32>,
}

Expand description

Builder for instrument greeks calculation parameters.

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§instrument_id: InstrumentId

The instrument ID to calculate greeks for

§flat_interest_rate: f64

Flat interest rate (default: 0.0425)

§flat_dividend_yield: Option<f64>

Flat dividend yield

§spot_shock: f64

Spot price shock (default: 0.0)

§vol_shock: f64

Volatility shock (default: 0.0)

§time_to_expiry_shock: f64

Time to expiry shock (default: 0.0)

§use_cached_greeks: bool

Whether to use cached greeks (default: false)

§cache_greeks: bool

Whether to cache greeks (default: false)

§publish_greeks: bool

Whether to publish greeks (default: false)

§ts_event: Option<UnixNanos>

Event timestamp

§position: Option<Position>

Position for PnL calculation

§percent_greeks: bool

Whether to compute percent greeks (default: false)

§index_instrument_id: Option<InstrumentId>

Index instrument ID for beta weighting

§beta_weights: Option<HashMap<InstrumentId, f64>>

Beta weights for portfolio calculations

§vega_time_weight_base: Option<i32>

Base value in days for time-weighting vega

Implementations§

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impl InstrumentGreeksParams

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pub fn calculate(&self, calculator: &GreeksCalculator) -> Result<GreeksData>

Calculate instrument greeks using the builder parameters.

§Errors

Returns an error if the greeks calculation fails.

Trait Implementations§

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impl Debug for InstrumentGreeksParams

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

Formats the value using the given formatter. Read more

Auto Trait Implementations§

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impl UnwindSafe for InstrumentGreeksParams

Blanket Implementations§

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

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fn type_id(&self) -> TypeId

Gets the TypeId of self. Read more

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

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fn borrow(&self) -> &T

Immutably borrows from an owned value. Read more

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

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

Mutably borrows from an owned value. Read more

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impl<T> From<T> for T

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fn from(t: T) -> T

Returns the argument unchanged.

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impl<T> Instrument for T

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

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

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fn in_current_span(self) -> Instrumented<Self>

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

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

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fn into(self) -> U

Calls U::from(self).

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

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impl<T> IntoEither for T

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fn into_either(self, into_left: bool) -> Either<Self, Self>

Converts self into a Left variant of Either<Self, Self> if into_left is true. Converts self into a Right variant of Either<Self, Self> otherwise. Read more

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fn into_either_with<F>(self, into_left: F) -> Either<Self, Self>
where F: FnOnce(&Self) -> bool,

Converts self into a Left variant of Either<Self, Self> if into_left(&self) returns true. Converts self into a Right variant of Either<Self, Self> otherwise. Read more

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