Struct PortfolioGreeksParams 

pub struct PortfolioGreeksParams {

    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 update_vol: 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>,
    pub vol_index_instrument_id: Option<InstrumentId>,
    pub vol_beta_weights: Option<HashMap<InstrumentId, f64>>,
}

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)

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)

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

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 PortfolioGreeksParams

pub fn builder() -> PortfolioGreeksParamsBuilder

Create an instance of PortfolioGreeksParams using the builder syntax

impl PortfolioGreeksParams

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

impl Debug for PortfolioGreeksParams

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

Formats the value using the given formatter.