Struct PortfolioGreeksParams

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pub struct PortfolioGreeksParams {Show 18 fields
    pub underlyings: Option<Vec<String>>,
    pub venue: Option<Venue>,
    pub instrument_id: Option<InstrumentId>,
    pub strategy_id: Option<StrategyId>,
    pub side: Option<PositionSide>,
    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 percent_greeks: bool,
    pub index_instrument_id: Option<InstrumentId>,
    pub beta_weights: Option<HashMap<InstrumentId, f64>>,
    pub greeks_filter: Option<GreeksFilterCallback>,
    pub vega_time_weight_base: Option<i32>,
}

Expand description

Builder for portfolio greeks calculation parameters.

Fields§

§underlyings: Option<Vec<String>>

List of underlying symbols to filter by

§venue: Option<Venue>

Venue to filter positions by

§instrument_id: Option<InstrumentId>

Instrument ID to filter positions by

§strategy_id: Option<StrategyId>

Strategy ID to filter positions by

§side: Option<PositionSide>

Position side to filter by (default: NoPositionSide)

§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)

§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

§greeks_filter: Option<GreeksFilterCallback>

Filter function for greeks

§vega_time_weight_base: Option<i32>

Base value in days for time-weighting vega

Implementations§

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impl PortfolioGreeksParams

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

Calculate portfolio greeks using the builder parameters.

§Errors

Returns an error if the portfolio greeks calculation fails.

Trait Implementations§

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impl Debug for PortfolioGreeksParams

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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 PortfolioGreeksParams

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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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where T: ?Sized,

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impl<T> From<T> for T

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fn from(t: T) -> T

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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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Calls U::from(self).

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where F: FnOnce(&Self) -> bool,

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