Functions — github.com/MarcusRainbow/QuantMath

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Functions887 in github.com/MarcusRainbow/QuantMath

⨍ Functions 887◇ Types & classes 167

↓ 3 callersMethodvega

(&self)

src/risk/vegavolga.rs:101

↓ 3 callersMethodvolatilities

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

src/data/volsmile.rs:42

↓ 3 callersMethodvolga

(&self)

src/risk/vegavolga.rs:102

↓ 3 callersFunctionzbrent

Brent's method of root-finding, based on the implementation given in Numerical Recipes in C by Press, Teukolsky, Vetterling and Flannery. The algorith

src/math/brent.rs:12

↓ 2 callersMethodadd

Adds a subgenerator, for example calculating delta within the time-forward context.

src/risk/timebumped.rs:108

↓ 2 callersMethodadd_instrument

(&mut self, instrument: &RcInstrument)

src/risk/dependencies.rs:92

↓ 2 callersMethodapply

(&self, surface: RcVolSurface)

src/data/bumpvol.rs:59

↓ 2 callersMethodas_bumpable

(&self)

src/pricers/selfpricer.rs:99

↓ 2 callersFunctionas_currency

See documentation for as_instrument

src/facade/handle.rs:235

↓ 2 callersMethodas_mc_priceable

(&self)

src/instruments/options.rs:339

↓ 2 callersMethodas_mut_bumpable

(&mut self)

src/models/blackdiffusion.rs:483

↓ 2 callersFunctionas_reports

Converts the handle into a vector of reports. Unlike the other methods in this module, this also frees the handle that is passed in.

src/facade/handle.rs:261

↓ 2 callersFunctionassert_approx

(value: f64, expected: f64)

src/instruments/basket.rs:269

↓ 2 callersFunctionassert_approx

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

src/data/volsurface.rs:1037

↓ 2 callersFunctionassert_approx_eq_reports

Checks that the two supplied JSON strings are sufficiently close, given the tolerances. The strings should contain vectors of reports.

src/facade/mod.rs:170

↓ 2 callersFunctionassert_step

(calendar: &Calendar, stepped: Date, manual: Date, from: Date, count: f64, exact: bool)

src/dates/calendar.rs:798

↓ 2 callersMethodbase_date

The date to which all dividends are discounted, and from which all accruals are counted.

src/data/divstream.rs:306

↓ 2 callersMethodbumpsize

(&self)

src/data/bumpvol.rs:31

↓ 2 callersFunctioncalculate

Performs a calculation, outputting the price, and writing any reports that are requested.

src/facade/mod.rs:133

↓ 2 callersMethodcall_price

Calculates the PV of a European call option under Black Scholes

src/math/optionpricing.rs:23

↓ 2 callersFunctioncheck_fixed_european_value

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

src/instruments/options.rs:953

↓ 2 callersMethodclone_box

(&self)

src/risk/mod.rs:69

↓ 2 callersMethodcontrol

(&self)

src/core/dedup.rs:61

↓ 2 callersFunctioncreate_dependencies

(instrument: &RcInstrument, spot_date: Date)

src/risk/cache.rs:397

↓ 2 callersFunctioncreate_sample_bootstrap

(div_stream: &DividendStream, hwm: Date)

src/data/divstream.rs:494

↓ 2 callersFunctioncreate_sample_borrow

()

src/risk/marketdata.rs:497

↓ 2 callersFunctioncreate_sample_borrow

()

examples/montecarlo.rs:80

↓ 2 callersFunctioncreate_sample_divstream

()

src/risk/marketdata.rs:468

↓ 2 callersFunctioncreate_sample_divstream

()

examples/montecarlo.rs:51

↓ 2 callersFunctioncreate_sample_flat_vol

()

src/risk/marketdata.rs:505

↓ 2 callersFunctioncreate_sample_flat_vol

()

examples/montecarlo.rs:88

↓ 2 callersFunctioncreate_sample_rate

()

src/risk/marketdata.rs:489

↓ 2 callersFunctioncreate_sample_rate

()

examples/montecarlo.rs:72

↓ 2 callersMethodcredit_id

(&self)

src/instruments/bonds.rs:69

↓ 2 callersFunctiond_plus_minus

Calculates the internal d_plus and d_minus values needed for many of the Black Scholes formulae.

src/math/optionpricing.rs:49

↓ 2 callersFunctiondedup_map_from_slice

Utility function to convert a slice of objects that support InstanceId into a HashMap. We do this rather than using a HashSet and relying on the objec

src/core/dedup.rs:301

↓ 2 callersMethodderef

(&self)

src/core/factories.rs:78

↓ 2 callersMethoddisplacement

(&self, _date: Date)

src/data/volsurface.rs:452

↓ 2 callersMethoddiv_yield

(&self)

src/data/divstream.rs:125

↓ 2 callersMethodevaluate_flows

(&self, quantities: ArrayView2<f64>)

src/models/blackdiffusion.rs:498

↓ 2 callersMethodextrapolate

(&self, pillar: usize, date_time: DateDayFraction, strikes: &[f64], mut out:

src/data/volsurface.rs:660

↓ 2 callersFunctionfail_or_succeed

(ok: bool)

src/core/qm.rs:88

↓ 2 callersFunctionfetch_path

(instrument: &Instrument, context: &PricingContext, observations: &[DateDayFraction], correlated_gaussians

src/models/blackdiffusion.rs:408

↓ 2 callersFunctionfetch_paths

( observations: &[DateDayFraction], correlated_gaussians: &Array3<f64>, context: &PricingContext,

src/models/blackdiffusion.rs:379

↓ 2 callersFunctionfind_cached_data

Look for market-data-derived objects in the cache. If they are not there, it means that the instrument lied about its dependencies, so return an error

src/risk/cache.rs:212

↓ 2 callersMethodfix

(&self, fixing_table: &FixingTable)

src/instruments/basket.rs:96

↓ 2 callersFunctionfix_all

Utility method to fix all instruments in a vector, returning them as a weighted vector. Currently we do not attempt to net instruments of the same typ

src/instruments/mod.rs:138

↓ 2 callersMethodfixing

(&mut self, id: &str, date: DateTime)

src/risk/dependencies.rs:167

↓ 2 callersMethodflow

(&mut self, instrument: &RcInstrument)

src/models/mod.rs:148

↓ 2 callersMethodforward

(&self)

src/data/voldecorators.rs:69

↓ 2 callersMethodforward_curve

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

src/instruments/options.rs:662

↓ 2 callersMethodforward_id_by_credit_id

(&self, credit_id: &str)

src/risk/dependencies.rs:71

↓ 2 callersFunctionfrom_handle

Converts a result containing either a handle or an error into a u64. The u64 is the address of a small heap-allocated object that contains the referen

src/facade/handle.rs:211

↓ 2 callersMethodgenerate

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

src/risk/timebumped.rs:122

↓ 2 callersFunctionget_hwm

(map: &HashMap<RcInstrument, Date>, instrument: &RcInstrument)

src/risk/dependencies.rs:111

↓ 2 callersMethodinstrument_by_id

(&self, id: &str)

src/risk/dependencies.rs:67

↓ 2 callersMethodinstruments_clone

(&self)

src/risk/dependencies.rs:97

↓ 2 callersMethodinterp_cmp

(&self, other: f64)

src/math/interpolation.rs:29

↓ 2 callersFunctionlinear_interpolate_extrapolate

Helper function for linear interpolation and extrapolation.

src/math/interpolation.rs:126

src/pricers/selfpricer.rs:45

↓ 2 callersMethodnew

Constructs a factory for producing MonteCarlo pricers. We pass in the number of paths to use for the Monte-Carlo simulation, which makes a lot of sens

src/pricers/montecarlo.rs:52

↓ 2 callersMethodnew_saveable

(&self)

src/pricers/selfpricer.rs:142

↓ 2 callersMethodnew_saveable

(&self)

src/pricers/montecarlo.rs:161

↓ 2 callersMethodnew_saveable

(&self)

src/risk/deltagamma.rs:252

↓ 2 callersFunctionnr_spline

Code adapted from Numerical Recipes in C. Main changes are to make all vectors zero-based; pass in a vector of points rather than two arrays of x and

src/math/interpolation.rs:366

↓ 2 callersMethodpartial_cmp

(&self, other: &RcInstrument)

src/instruments/mod.rs:221

↓ 2 callersMethodpaths

(&self, instrument: &RcInstrument)

src/models/blackdiffusion.rs:489

↓ 2 callersMethodpillar_variances

(&self, pillar: usize, vol_time: f64, strikes: &[f64], mut variances: &mut[f64

src/data/volsurface.rs:755

↓ 2 callersMethodprice

(&self)

src/risk/deltagamma.rs:230

↓ 2 callersMethodput_price

Calculates the PV of a European put option under Black Scholes

src/math/optionpricing.rs:33

↓ 2 callersFunctionqm_calculate

(pricer_factory: u64, instrument: u64, fixing_table: u64, market_data: u64, number_of_report_generato

src/facade/c_interface.rs:291

↓ 2 callersFunctionqm_clone

(handle: u64)

src/facade/c_interface.rs:379

↓ 2 callersFunctionqm_currency_from_json_string

(source: *const c_char)

src/facade/c_interface.rs:115

↓ 2 callersFunctionqm_instrument_from_json_string

( source: *const c_char, dedup_ccy: QmDedupControl, number_of_currencies: u32, currencies: *c

src/facade/c_interface.rs:67

↓ 2 callersMethodraw_market_data

(&self)

src/risk/cache.rs:328

↓ 2 callersFunctionreports_from_json

Reports are normally generated by the calculate function, but this method allows us to reconstitute a vector of reports from its json representation,

src/facade/mod.rs:122

↓ 2 callersFunctionsample_currency

(step: u32)

src/risk/marketdata.rs:420

↓ 2 callersFunctionsample_equity

(currency: RcCurrency, step: u32)

src/risk/marketdata.rs:431

↓ 2 callersFunctionsample_equity_json

()

src/facade/mod.rs:269

↓ 2 callersFunctionsample_fixing_table_json

()

src/facade/mod.rs:527

↓ 2 callersFunctionsample_fixings

()

src/pricers/selfpricer.rs:183

↓ 2 callersFunctionsample_fixings

()

src/pricers/montecarlo.rs:201

↓ 2 callersFunctionsample_forward_european_json

()

src/facade/mod.rs:288

↓ 2 callersFunctionsample_market_data_json

()

src/facade/mod.rs:353

↓ 2 callersFunctionsample_pricer_factory_json

()

src/facade/mod.rs:575

↓ 2 callersFunctionsample_report_generator_json

()

src/facade/mod.rs:567

↓ 2 callersFunctionsample_results_json

()

src/facade/mod.rs:581

↓ 2 callersFunctionsample_settlement

(step: u32)

src/risk/dependencies.rs:220

↓ 2 callersFunctionsample_settlement

(step: u32)

examples/montecarlo.rs:101

↓ 2 callersMethodserialize

(&self, serializer: S)

src/instruments/mod.rs:254

↓ 2 callersMethodserialize

(&self, serializer: S)

src/dates/mod.rs:130

↓ 2 callersFunctionset_hwm

(instrument: &RcInstrument, high_water_mark: Date, map: &mut HashMap<RcInstrument, Date>)

src/risk/dependencies.rs:185

↓ 2 callersFunctionset_hwm_by_str

(id: &str, high_water_mark: Date, map: &mut HashMap<String, Date>)

src/risk/dependencies.rs:174

↓ 2 callersMethodsettlement

(&self)

src/instruments/bonds.rs:73

↓ 2 callersMethodspot

(&self, id: &str)

src/instruments/basket.rs:217

↓ 2 callersMethodspot_date

(&self)

src/instruments/basket.rs:202

↓ 2 callersMethodspot_dynamics

(&self)

src/data/bumptime.rs:15

↓ 2 callersMethodtheta

(&self)

src/risk/timebumped.rs:48

↓ 2 callersMethodtime_of_day

(&self)

src/dates/datetime.rs:52

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