Functions — github.com/MarcusRainbow/QuantMath

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Functions887 in github.com/MarcusRainbow/QuantMath

⨍ Functions 887◇ Types & classes 167

Normalised strike is defined as ln(K/F) / vol. It is a measure of the probability of a strike, in a date and forward independent way.

src/data/volsurface.rs:879

↓ 2 callersMethodtruncated_julian

Returns the Truncated Julian integer associated with this date

src/dates/mod.rs:222

↓ 2 callersMethodvol_surface

(&self, _instrument: &Instrument, _high_water_mark: Date, _forward_fn: &Fn() -> Result<Arc<Forward

src/instruments/options.rs:678

↓ 2 callersMethodvol_surfaces

(&self)

src/risk/dependencies.rs:63

↓ 2 callersFunctionwalk_dependencies

( context: &MarketData, dependencies: &Arc<DependencyCollector>, forward_curves: &mut HashMap<Stri

src/risk/cache.rs:140

↓ 2 callersFunctionwrite_results

Unpacks a set of calculation results to the given stream. For example, they may be written to a string buffer or to a file.

src/facade/mod.rs:153

↓ 2 callersMethodyield_curve

(&self, _credit_id: &str, _high_water_mark: Date)

src/instruments/bonds.rs:182

↓ 2 callersMethodyield_curve

(&self, _credit_id: &str, _high_water_mark: Date)

src/instruments/options.rs:646

↓ 1 callersFunctionabort_showing_usage

src/cpp-test/quantmath_runner.cpp:80

↓ 1 callersMethodas_any

(&self)

src/models/blackdiffusion.rs:670

↓ 1 callersMethodas_any

(&self)

src/risk/marketdata.rs:374

↓ 1 callersMethodas_any

(&self)

src/risk/cache.rs:366

↓ 1 callersMethodas_bumpable

(&self)

src/models/blackdiffusion.rs:482

↓ 1 callersMethodas_currency

(&self)

src/facade/handle.rs:102

↓ 1 callersFunctionas_error

Converts a handle into an error. Normally, this is called following a call to is_error, which has returned true, so we know the handle contains an err

src/facade/handle.rs:290

↓ 1 callersMethodas_error

(&self)

src/facade/handle.rs:150

↓ 1 callersFunctionas_fixing_table

See documentation for as_instrument

src/facade/handle.rs:245

↓ 1 callersMethodas_fixing_table

(&self)

src/facade/handle.rs:118

↓ 1 callersMethodas_instrument

(&self)

src/facade/handle.rs:94

↓ 1 callersMethodas_interp

(&self)

src/data/forward.rs:45

↓ 1 callersFunctionas_market_data

See documentation for as_instrument

src/facade/handle.rs:240

↓ 1 callersMethodas_market_data

(&self)

src/facade/handle.rs:110

↓ 1 callersMethodas_mc_context

(&self)

src/models/blackdiffusion.rs:481

↓ 1 callersMethodas_mut_any

(&mut self)

src/models/blackdiffusion.rs:671

↓ 1 callersMethodas_mut_any

(&mut self)

src/risk/marketdata.rs:375

↓ 1 callersMethodas_mut_any

(&mut self)

src/risk/cache.rs:367

↓ 1 callersMethodas_mut_bumpable

(&mut self)

src/risk/deltagamma.rs:227

↓ 1 callersMethodas_priceable

(&self)

src/instruments/basket.rs:92

↓ 1 callersFunctionas_pricer_factory

See documentation for as_instrument

src/facade/handle.rs:250

↓ 1 callersMethodas_pricer_factory

(&self)

src/facade/handle.rs:126

↓ 1 callersMethodas_pricing_context

(&self)

src/risk/marketdata.rs:303

↓ 1 callersFunctionas_report_generator

See documentation for as_instrument

src/facade/handle.rs:255

↓ 1 callersMethodas_report_generator

(&self)

src/facade/handle.rs:134

↓ 1 callersMethodas_reports

(self)

src/facade/handle.rs:142

↓ 1 callersFunctionassert_approx

(value: f64, expected: f64)

src/instruments/bonds.rs:229

↓ 1 callersMethodbump_all_relative

(&mut self, one_plus_bump: f64)

src/data/divstream.rs:59

↓ 1 callersMethodbump_spot_date

Bumps the spot date, for example during a Theta calculation

src/risk/marketdata.rs:87

↓ 1 callersMethodbump_time

(&mut self, bump: &BumpTime)

src/risk/deltagamma.rs:261

↓ 1 callersFunctioncalculate_substepping

Work out how to step along the timeline. We need steps at each observation, but we may well need intermediate steps. This method calculates how many i

src/models/blackdiffusion.rs:251

↓ 1 callersMethodcalendar

(&self)

src/data/voldecorators.rs:65

↓ 1 callersMethodcash

(&self)

src/data/divstream.rs:54

↓ 1 callersFunctioncheck_basket_european_value

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

src/instruments/options.rs:892

↓ 1 callersFunctioncheck_basket_forward_european_value

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

src/instruments/options.rs:931

↓ 1 callersMethodclone_box

(&self)

src/models/mod.rs:82

↓ 1 callersFunctionclone_handle

(handle: u64)

src/facade/handle.rs:218

↓ 1 callersMethodcmp

(&self, other: &RcInstrument)

src/instruments/mod.rs:215

↓ 1 callersMethodcmp

(&self, other: &Basket)

src/instruments/basket.rs:118

↓ 1 callersMethodcollate

(&mut self)

src/models/mod.rs:113

↓ 1 callersMethodcontains_key

Returns true if the map contains this key

src/core/dedup.rs:79

↓ 1 callersMethodcontent

(&self)

src/core/dedup.rs:130

↓ 1 callersMethodcontext

(&self)

src/risk/deltagamma.rs:249

↓ 1 callersMethodcorrelation

(&self, first: &Instrument, second: &Instrument)

src/risk/cache.rs:202

↓ 1 callersFunctioncreate_sample_borrow

()

src/data/forward.rs:285

↓ 1 callersFunctioncreate_sample_divstream

()

src/data/forward.rs:256

↓ 1 callersFunctioncreate_sample_rate

()

src/data/forward.rs:277

↓ 1 callersMethodcredit_id

(&self)

src/instruments/assets.rs:64

↓ 1 callersMethodcurrency_risk

(&self)

src/risk/mod.rs:167

↓ 1 callersMethoddependencies

(&self)

src/models/blackdiffusion.rs:609

↓ 1 callersMethoddependencies

(&self)

src/risk/deltagamma.rs:246

↓ 1 callersMethoddf

Utility method to return the discount factor between two dates. You can often use the lower-level method rt more efficiently. This is just here for co

src/data/curves.rs:48

↓ 1 callersMethoddiscounted_cash_divs_after

Returns the NPV of all cash dividend amounts after the given date. All amounts are discounted to the base date.

src/data/divstream.rs:391

↓ 1 callersMethoddiscounted_sum

Returns the NPV of all cash and relative dividend amounts between two dates. Dividends on the 'from' date are not included. Dividends on the 'to' date

src/data/divstream.rs:353

↓ 1 callersMethoddiv_assumptions

(&self)

src/data/voldecorators.rs:77

↓ 1 callersMethoddividends

(&self)

src/data/divstream.rs:124

↓ 1 callersFunctionduplicate_fixing

(id: &str, v1: f64, v2: f64, date_time: DateTime)

src/data/fixings.rs:240

↓ 1 callersFunctionduplicate_fixing_curve

(id: &str)

src/data/fixings.rs:107

↓ 1 callersMethodex_date

(&self)

src/data/divstream.rs:56

↓ 1 callersMethodfactory

(&self, timeline: &MonteCarloTimeline, context: Box<BumpablePricingContext>)

src/models/blackdiffusion.rs:73

↓ 1 callersFunctionfetch_correlated_gaussians

Fetch the correlated gaussians. In other words, a set of random numbers weighted by a gaussian distribution with correlations defined by the correlati

src/models/blackdiffusion.rs:296

↓ 1 callersMethodfind_smile_date

Finds the date to use for forward variance calculations. This is not normally overridden or invoked externally.

src/data/volsurface.rs:203

↓ 1 callersMethodfix

Transforms the instrument, given a fixing table. For example, a forward- starting European may transform to a spot-starting one. Most instruments are

src/instruments/mod.rs:119

↓ 1 callersMethodfix

We cannot delegate fix to the contained vanilla, because it needs to know the strike

src/instruments/options.rs:343

↓ 1 callersMethodfixed_divs_after

(&self, date: Date)

src/data/forward.rs:113

↓ 1 callersMethodfixings

(&self, id: &str)

src/risk/dependencies.rs:84

↓ 1 callersMethodflows

(&self)

src/models/mod.rs:131

↓ 1 callersMethodforward

(&self, date: Date)

src/instruments/mod.rs:462

↓ 1 callersMethodforward_curve

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

src/instruments/assets.rs:461

↓ 1 callersMethodforward_curve

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

src/risk/marketdata.rs:188

↓ 1 callersMethodforward_curve_hwm

(&self, instrument: &RcInstrument)

src/risk/dependencies.rs:49

↓ 1 callersMethodforward_curves

(&self)

src/risk/dependencies.rs:59

↓ 1 callersMethodforward_variance

Convenience method that fetches a single variance. It is generally much more efficient to use the vector method if you need variances for multiple str

src/data/volsurface.rs:192

↓ 1 callersMethodforward_variances

Fetches the forward variances between two date/day-fractions, across a range of strikes. Forward variances are used when valuing forward- starting opt

src/data/volsurface.rs:124

↓ 1 callersFunctionfree_handle

The handle is freed as a result of this call. This function must never panic, as it is invoked direct from C.

src/facade/handle.rs:302

↓ 1 callersMethodget_fixings

Tries to get an entire fixing curve by id. Return None if there is none.

src/data/fixings.rs:89

↓ 1 callersFunctionget_generator_registry

Return the type registry required for deserialization.

src/risk/mod.rs:198

↓ 1 callersFunctionget_hwm_by_str

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

src/risk/dependencies.rs:104

↓ 1 callersFunctionget_registry

Return the type registry required for deserialization.

src/instruments/mod.rs:192

↓ 1 callersFunctionget_registry

Return the type registry required for deserialization.

src/core/factories.rs:295

↓ 1 callersFunctionget_registry

Return the type registry required for deserialization.

src/data/volsurface.rs:248

↓ 1 callersFunctionget_registry

Return the type registry required for deserialization.

src/data/curves.rs:75

↓ 1 callersFunctionget_registry

Return the type registry required for deserialization.

src/dates/rules.rs:40

↓ 1 callersFunctionget_registry

Return the type registry required for deserialization.

src/dates/calendar.rs:99

↓ 1 callersFunctionget_registry

Return the type registry required for deserialization.

src/pricers/mod.rs:44

↓ 1 callersFunctionget_registry

Return the type registry required for deserialization.

src/models/mod.rs:48

↓ 1 callersFunctionget_report_registry

Return the type registry required for deserialization.

src/risk/mod.rs:253

↓ 1 callersMethodid

(&self)

src/instruments/basket.rs:44

↓ 1 callersMethodinstruments_iter

(&self)

src/risk/dependencies.rs:80

↓ 1 callersMethodinterp_cmp

(&self, other: Date)

src/dates/mod.rs:190

↓ 1 callersFunctionis_error

Tests whether a handle contains an error. Never consumes the handle. This function must never panic, as it is invoked direct from C.

src/facade/handle.rs:296

↓ 1 callersMethodis_pure_rates

(&self)

src/instruments/bonds.rs:90

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