Functions — github.com/MarcusRainbow/QuantMath

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Functions887 in github.com/MarcusRainbow/QuantMath

⨍ Functions 887◇ Types & classes 167

↓ 6 callersMethodymd

Returns the year, month and day associated with this date

src/dates/mod.rs:217

↓ 5 callersFunctionapply_bump

local helper function to apply a bump and save the old state

src/risk/marketdata.rs:320

↓ 5 callersMethodas_any

(&self)

src/risk/timebumped.rs:30

↓ 5 callersMethodas_any

(&self)

src/risk/deltagamma.rs:33

↓ 5 callersFunctionassert_2nd_diff

( interp: &Interpolate<f64>, x: f64, deriv: f64, expected: f64)

src/math/interpolation.rs:549

↓ 5 callersFunctionassert_approx

(value: f64, expected: f64, tolerance: f64)

src/risk/vegavolga.rs:214

↓ 5 callersFunctioncheck_forward_european_value

(spot: f64, strike_fraction: f64, strike_date: DateTime, expiry: DateTime, put_or_call: PutOrC

src/instruments/options.rs:913

↓ 5 callersMethodcmp

(&self, other: &DateDayFraction)

src/dates/datetime.rs:114

↓ 5 callersMethodforward_curve

(&self, instrument: &Instrument, _high_water_mark: Date)

src/risk/cache.rs:188

↓ 5 callersMethodgamma

(&self)

src/risk/deltagamma.rs:94

↓ 5 callersMethodid

(&self)

src/instruments/bonds.rs:39

↓ 5 callersFunctionmanual_count

(calendar: &Calendar, from: Date, from_fraction: f64, to: Date, to_fraction: f64)

src/dates/calendar.rs:860

↓ 5 callersMethodnew_saveable

(&self)

src/risk/cache.rs:301

↓ 5 callersFunctionnew_test_calendar

()

src/dates/calendar.rs:907

↓ 5 callersFunctionqm_error_string

(handle: u64)

src/facade/c_interface.rs:356

↓ 5 callersFunctionqm_free_string

(string: *mut c_char)

src/facade/c_interface.rs:371

↓ 5 callersFunctionserialize

(map: &HashMap<DateTime, f64>, serializer: S)

src/data/fixings.rs:172

↓ 5 callersMethodspot

(&self, id: &str)

src/risk/cache.rs:183

↓ 5 callersMethodstep_partial

(&self, from: Date, step: f64, slip_forward: bool)

src/dates/calendar.rs:549

↓ 5 callersMethodyear_fraction

Calculate the year-fraction between two date-times, given the count of business days and the standard basis.

src/dates/calendar.rs:75

↓ 4 callersMethodas_bumpable

(&self)

src/risk/deltagamma.rs:226

↓ 4 callersMethodas_mut_time_bumpable

(&mut self)

src/pricers/selfpricer.rs:101

↓ 4 callersMethodas_mut_time_bumpable

(&mut self)

src/pricers/montecarlo.rs:121

↓ 4 callersMethodas_priceable

(&self)

src/instruments/bonds.rs:94

↓ 4 callersMethodas_priceable

(&self)

src/instruments/options.rs:338

↓ 4 callersFunctionassert_approx

(value: f64, expected: f64)

src/instruments/assets.rs:524

↓ 4 callersMethodbase_date

(&self)

src/data/volsurface.rs:441

↓ 4 callersMethodbump_time

(&mut self, bump: &BumpTime)

src/pricers/selfpricer.rs:152

↓ 4 callersMethodbump_time

(&mut self, bump: &BumpTime)

src/pricers/montecarlo.rs:171

↓ 4 callersFunctionbumped_price

Useful method for report generators. Bumps a pricer and reprices it if necessary, returning the bumped price.

src/risk/mod.rs:268

↓ 4 callersFunctioncheck_bad_syntax

(text: &str)

src/dates/mod.rs:344

↓ 4 callersFunctioncheck_european_value

(spot: f64, strike: f64, expiry: DateTime, put_or_call: PutOrCall, expected: f64)

src/instruments/options.rs:875

↓ 4 callersFunctionconsistency_check_count

(calendar: &Calendar, exact: bool)

src/dates/calendar.rs:754

↓ 4 callersFunctionconsistency_check_step

(calendar: &Calendar)

src/dates/calendar.rs:823

↓ 4 callersFunctionconvert_dedup

(dedup: &QmDedupControl)

src/facade/c_interface.rs:421

↓ 4 callersFunctioncurrency_from_json

A currency in QuantMath normally represents a literal currency such as USD. For simplicity we recommend that only major currencies are used. Thus a pe

src/facade/mod.rs:63

↓ 4 callersMethodday_weight

(&self, date: Date)

src/dates/calendar.rs:614

↓ 4 callersMethoddependencies

(&self)

src/risk/cache.rs:293

↓ 4 callersMethoddescription

(&self)

src/core/qm.rs:25

↓ 4 callersMethodextrapolate

(&self, value: f64)

src/math/interpolation.rs:81

↓ 4 callersFunctionfrom_json

(ser: &[u8], control: DedupControl, map: &HashMap<String, DrcStored>)

src/core/factories.rs:657

↓ 4 callersMethodid

(&self)

src/instruments/options.rs:282

↓ 4 callersMethodinsert

Adds a creation method to the registry

src/core/factories.rs:35

↓ 4 callersMethodinsert

Adds a fixings curve

src/data/fixings.rs:56

↓ 4 callersFunctioninstrument_from_json

An instrument in QuantMath represents any tradable item. At simplest, it can be a currency, zero coupon bond, equity or commodity. At most complex, it

src/facade/mod.rs:34

↓ 4 callersFunctionlog_discount_with_borrow

Precalculate the fixed offset to be passed into discount_with_borrow. Actually returns rt - qt where t is the time from the base date of the discount

src/data/forward.rs:177

↓ 4 callersFunctionmanual_step

( calendar: &Calendar, from: Date, direction: i32, steps: i32)

src/dates/calendar.rs:878

↓ 4 callersMethodmodify

Decorate or modify a vol surface to cope with a change from the base date when the surface was calibrated to the spot date now.

src/data/volsurface.rs:312

↓ 4 callersFunctionnew_test_volatility_calendar

()

src/dates/calendar.rs:938

↓ 4 callersMethodpayoff_currency

(&self)

src/instruments/options.rs:292

↓ 4 callersMethodresults

(&self)

src/risk/deltagamma.rs:46

↓ 4 callersMethodresults

(&self)

src/risk/vegavolga.rs:54

↓ 4 callersFunctionsample_currency_json

()

src/facade/mod.rs:254

↓ 4 callersFunctionsample_pricing_context

(spot: f64)

src/instruments/assets.rs:478

↓ 4 callersMethodserialize_with_dedup

(&self, serializer: S, tls_seed: &'static LocalKey<RefCell<Dedup<T, R>>>, serialize: F)

src/core/dedup.rs:132

↓ 4 callersMethodspot_date

(&self)

src/data/bumptime.rs:14

↓ 4 callersMethodvol_surface

Gets a Vol Surface, given any instrument, for example an equity. Also specify a high water mark, beyond which we never directly ask for vols.

src/risk/cache.rs:196

↓ 4 callersMethodvolatilities

(&self, date_time: DateDayFraction, strikes: &[f64], volatilities: &mut[f64])

src/data/volsurface.rs:418

↓ 4 callersMethodvolatilities

The volatilities remain constant. All that changes is the vol time that we return from the decorator. (Vol times internally must remain unchanged, oth

src/data/voldecorators.rs:51

↓ 3 callersMethodas_any

(&self)

src/risk/vegavolga.rs:42

↓ 3 callersMethodas_bumpable

(&self)

src/pricers/montecarlo.rs:119

↓ 3 callersFunctionas_instrument

Takes a handle as returned by from_instrument and converts it back to a reference-counted pointer to an instrument. The handle is not freed as part of

src/facade/handle.rs:230

↓ 3 callersFunctionassert_approx

(value: f64, expected: f64, tolerance: f64)

src/solvers/impliedvol.rs:86

↓ 3 callersFunctionassert_json_equal

A helper function to assert that two strings contain the same JSON data.

src/core/factories.rs:665

↓ 3 callersFunctionbasket_tagged_serde_dedup

(control: DedupControl, currencies: HashMap<String, RcCurrency>, instruments: HashMap<String

src/instruments/options.rs:1892

↓ 3 callersMethodcalendar

(&self)

src/data/volsurface.rs:433

↓ 3 callersMethodcmp

(&self, other: &Currency)

src/instruments/assets.rs:92

↓ 3 callersMethodcontext

(&self)

src/risk/cache.rs:297

↓ 3 callersMethodcount_holidays

Count holidays, not including weekends. This method excludes any holidays on the end dates of the range.

src/dates/calendar.rs:338

↓ 3 callersFunctioncreate_sample_divstream

()

src/data/divstream.rs:473

↓ 3 callersMethodcredit_id

(&self)

src/instruments/basket.rs:65

↓ 3 callersMethoddelta

(&self)

src/risk/deltagamma.rs:93

↓ 3 callersFunctiondependence_on_spot_discount

(instrument: &Instrument, context: &mut DependencyContext)

src/instruments/assets.rs:135

↓ 3 callersMethodderef

(&self)

src/risk/marketdata.rs:151

↓ 3 callersFunctiondiscount_with_borrow

Within a forward, all discounting and growth is done using exp(-rt + qt), i.e. using both the discount curve and the borrow curve. This is because the

src/data/forward.rs:167

↓ 3 callersFunctioneuropean_tagged_serde_dedup

(control: DedupControl, map: HashMap<String, RcCurrency>, expected: &str)

src/instruments/options.rs:1362

↓ 3 callersFunctionfixing_table_from_json

A FixingTable contains historical fixings for one or more assets, defined by Date and time of day.

src/facade/mod.rs:86

↓ 3 callersMethodforward

(&self)

src/data/volsurface.rs:437

↓ 3 callersMethodgenerate

(&self, pricer: &mut Pricer, saveable: &mut Saveable, unbumped: f64)

src/risk/deltagamma.rs:138

↓ 3 callersMethodgenerate

(&self, pricer: &mut Pricer, saveable: &mut Saveable, unbumped: f64)

src/risk/vegavolga.rs:146

↓ 3 callersMethodget_optional

Tries to get a fixing for the given instrument and date. Returns None if the fixing is not found.

src/data/fixings.rs:80

↓ 3 callersMethodget_type_id

(&self)

src/core/factories.rs:92

↓ 3 callersFunctionlinear_interpolate

Linear interpolation function. The y value and result must be f64. The x value can be any type supporting subtraction giving a numeric type.

src/math/interpolation.rs:110

↓ 3 callersFunctionmarket_data_from_json

MarketData contains all the live market data required for pricing. This is spots, yield and borrow curves, dividends, volatilities, and correlations.

src/facade/mod.rs:99

↓ 3 callersFunctionnr_splint

Code adapted from Numerical Recipes in C. This is a large change, because the original also did the binary chop to find the interpolation point. Thus

src/math/interpolation.rs:418

↓ 3 callersMethodobservation

(&mut self, instrument: &RcInstrument, date_time: DateDayFraction)

src/models/mod.rs:139

↓ 3 callersFunctionpricer_factory_from_json

A PricerFactory is used to create pricers, given an instrument to price and a fixing table. It contains enough information to define how the pricing i

src/facade/mod.rs:75

↓ 3 callersMethodremaining_holidays

Finds the next holiday, including the day we start from, and returns its offset in the vector. Also returns a bool to say whether the next holiday was

src/dates/calendar.rs:313

↓ 3 callersFunctionreport_generator_from_json

A ReportGenerator takes a pricer and bumps and revalues it to generate a report of sensitivities to market data changes.

src/facade/mod.rs:110

↓ 3 callersFunctionsample_forward_european

()

src/risk/marketdata.rs:451

↓ 3 callersFunctionsample_settlement

(step: u32)

src/risk/marketdata.rs:426

↓ 3 callersFunctionserde_tagged_dedup_roundtrip

(control: DedupControl, map: HashMap<String, DrcStored>, expected: &str)

src/core/factories.rs:609

↓ 3 callersMethodsettlement

(&self)

src/instruments/basket.rs:66

↓ 3 callersMethodslip_to_next

slide off a holiday or weekend onto the nearest business day, stepping either forward or backward. (Step is +/- 1.)

src/dates/calendar.rs:324

↓ 3 callersFunctionslip_to_next_weekday

private helper function to step forward or backward to the nearest Monday to Friday

src/dates/calendar.rs:274

↓ 3 callersMethodspot

(&mut self, instrument: &RcInstrument)

src/risk/dependencies.rs:129

↓ 3 callersFunctiontest_dedup

(control: DedupControl, map: HashMap<String, DrcNode>, expected: &str)

src/core/dedup.rs:457

↓ 3 callersMethodtime_to_day_fraction

(&self, date_time: DateTime)

src/instruments/basket.rs:80

↓ 3 callersFunctionto_strikes

(normalised: &[f64], forward: f64, sqrt_variance: f64)

src/data/volsurface.rs:889

↓ 3 callersFunctionvalidate_abscissae

You should invoke this method to validate that the curve contains suitable data for this interpolator. Otherwise you may get unexpected panics or inco

src/math/interpolation.rs:166

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