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InstrumentGreeksParams

nautilus_common::greeks

Struct InstrumentGreeksParams

pub struct InstrumentGreeksParams {Show 18 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 update_vol: 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>,
    pub vol_index_instrument_id: Option<InstrumentId>,
    pub vol_beta_weights: Option<HashMap<InstrumentId, f64>>,
}

Expand description

Builder for instrument greeks calculation parameters.

Fields§

§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)

§update_vol: bool

Whether to update vol from 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

§vol_index_instrument_id: Option<InstrumentId>

Volatility index instrument ID for vega beta weighting, for example VIX.

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

Volatility beta weights for portfolio vega calculations

Implementations§

impl InstrumentGreeksParams

pub fn builder() -> InstrumentGreeksParamsBuilder

Create an instance of InstrumentGreeksParams using the builder syntax

impl InstrumentGreeksParams

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§

impl Debug for InstrumentGreeksParams

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

Formats the value using the given formatter. Read more

Auto Trait Implementations§

impl Freeze for InstrumentGreeksParams

impl RefUnwindSafe for InstrumentGreeksParams

impl Send for InstrumentGreeksParams

impl Sync for InstrumentGreeksParams

impl Unpin for InstrumentGreeksParams

impl UnsafeUnpin for InstrumentGreeksParams

impl UnwindSafe for InstrumentGreeksParams

Blanket Implementations§

impl<T> Allocation for T
where T: RefUnwindSafe + Send + Sync,

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

fn type_id(&self) -> TypeId

Gets the TypeId of self. Read more

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

fn borrow(&self) -> &T

Immutably borrows from an owned value. Read more

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

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

Mutably borrows from an owned value. Read more

impl<ST, DT> CastableFrom<ST, Initialized, Initialized> for DT
where ST: ?Sized, DT: ?Sized,

impl<ST, DT> CastableFrom<ST, Uninit, Uninit> for DT
where ST: ?Sized, DT: ?Sized,

impl<T> From<T> for T

fn from(t: T) -> T

Returns the argument unchanged.

impl<T> Instrument for T

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

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

fn in_current_span(self) -> Instrumented<Self>

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

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

fn into(self) -> U

Calls U::from(self).

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

impl<T> Read<Exclusive, BecauseExclusive> for T
where T: ?Sized,

impl<T> Same for T

type Output = T

Should always be Self

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

type Error = Infallible

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fn try_from(value: U) -> Result<T, <T as TryFrom<U>>::Error>

Performs the conversion.

impl<T, U> TryInto<U> for T
where U: TryFrom<T>,

type Error = <U as TryFrom<T>>::Error

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fn try_into(self) -> Result<U, <U as TryFrom<T>>::Error>

Performs the conversion.

impl<T> Ungil for T
where T: Send,

impl<T> WithSubscriber for T

fn with_subscriber<S>(self, subscriber: S) -> WithDispatch<Self>
where S: Into<Dispatch>,

Attaches the provided Subscriber to this type, returning a [WithDispatch] wrapper. Read more

fn with_current_subscriber(self) -> WithDispatch<Self>

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