Struct PyScenario 

pub struct PyScenario {
    pub(crate) inner: Scenario,
}

A named perturbation of the market, in the units its quotes are made in.

A shift is the move of the selected input’s quote: a continuously compounded zero rate for a discount, projection, repo or security-spread curve, a hazard for a credit curve. Legs apply in order, so two legs on one input compose.

Fields

inner: Scenario

Implementations

impl PyScenario

pub(crate) fn extended( &self, selector: &str, shift: Shift, shift_type: Option<Named<ShiftType>>, ) -> PyResult<Self>

impl PyScenario

pub(crate) fn __repr__(&self) -> String

pub(crate) fn new(label: &str) -> Self

A scenario with no legs, reported under label.

pub(crate) fn shift( &self, selector: &str, amount: f64, shift_type: Option<Named<ShiftType>>, ) -> PyResult<Self>

This scenario with amount added to every quote selector admits — an axis name ("rate", "credit"), a curve ("projection(USD-SOFR)"), a surface, an FX smile’s shape ("fx_rr(EUR/USD)", "fx_bf(EUR/USD)", moved in vol points), or a CMS spread correlation ("cms_spread_correlation(EUR-EURIBOR-6M-IRS-10Y/EUR-EURIBOR-6M-IRS-2Y)", moved absolutely). shift_type ("relative" or "absolute") asks for the other move where an input has one — a vol in vol points; unset, each input keeps its own convention.

pub(crate) fn slope( &self, selector: &str, level: f64, per_year: f64, pivot_years: f64, shift_type: Option<Named<ShiftType>>, ) -> PyResult<Self>

This scenario with a slope leg: level + per_year·(τ − pivot_years), τ in years from the curve’s own reference date — or, for a vol or a CMS spread correlation term structure, the node’s expiry in years Act/365F (a flat correlation mark takes a parallel shift only).

pub(crate) fn bucket( &self, selector: &str, start: NaiveDate, end: NaiveDate, amount: f64, shift_type: Option<Named<ShiftType>>, ) -> PyResult<Self>

This scenario with a bucket leg: amount at the pillars — or, for a vol or a CMS spread correlation term structure, the expiries — between start and end, and nothing outside them.

pub(crate) fn tent( &self, selector: &str, peak: NaiveDate, amount: f64, left: Option<NaiveDate>, right: Option<NaiveDate>, shift_type: Option<Named<ShiftType>>, ) -> PyResult<Self>

This scenario with a tent leg: amount at peak, falling linearly to nothing at left and at right; a missing corner holds amount flat on its side. One bucket of a triangular sensitivity ladder.

pub(crate) fn holding_outrights(&self) -> Self

This scenario moving FX-implied curves’ spots with every FX leg and holding their outrights, so an FX shock’s P&L is the one the AD FX delta predicts. By default the implied curves’ rates are held instead.

pub(crate) fn label(&self) -> String

What a report keys this scenario’s row by.

pub(crate) fn __len__(&self) -> usize

How many legs the scenario carries.

Trait Implementations

impl Clone for PyScenario

fn clone(&self) -> PyScenario

Returns a duplicate of the value.

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source.

impl DerefToPyAny for PyScenario

impl IntoPy<Py<PyAny>> for PyScenario

fn into_py(self, py: Python<'_>) -> PyObject

Performs the conversion.

impl PyClass for PyScenario

type Frozen = True

Whether the pyclass is frozen.

impl PyClassImpl for PyScenario

const IS_BASETYPE: bool = false

#[pyclass(subclass)]

const IS_SUBCLASS: bool = false

#[pyclass(extends=…)]

const IS_MAPPING: bool = false

#[pyclass(mapping)]

const IS_SEQUENCE: bool = false

#[pyclass(sequence)]

type BaseType = PyAny

Base class

type ThreadChecker = SendablePyClass<PyScenario>

This handles following two situations:

type PyClassMutability = <<PyAny as PyClassBaseType>::PyClassMutability as PyClassMutability>::ImmutableChild

Immutable or mutable

type Dict = PyClassDummySlot

Specify this class has #[pyclass(dict)] or not.

type WeakRef = PyClassDummySlot

Specify this class has #[pyclass(weakref)] or not.

type BaseNativeType = PyAny

The closest native ancestor. This is PyAny by default, and when you declare #[pyclass(extends=PyDict)], it’s PyDict.

fn items_iter() -> PyClassItemsIter

fn doc(py: Python<'_>) -> PyResult<&'static CStr>

Rendered class doc

fn lazy_type_object() -> &'static LazyTypeObject<Self>

fn dict_offset() -> Option<isize>

fn weaklist_offset() -> Option<isize>

impl PyClassNewTextSignature<PyScenario> for PyClassImplCollector<PyScenario>

fn new_text_signature(self) -> Option<&'static str>

impl<'a, 'py> PyFunctionArgument<'a, 'py> for &'a PyScenario

type Holder = Option<PyRef<'py, PyScenario>>

fn extract( obj: &'a Bound<'py, PyAny>, holder: &'a mut Self::Holder, ) -> PyResult<Self>

impl PyMethods<PyScenario> for PyClassImplCollector<PyScenario>

fn py_methods(self) -> &'static PyClassItems

impl PyTypeInfo for PyScenario

const NAME: &'static str = "Scenario"

Class name.

const MODULE: Option<&'static str>

Module name, if any.

fn type_object_raw(py: Python<'_>) -> *mut PyTypeObject

Returns the PyTypeObject instance for this type.

fn type_object_bound(py: Python<'_>) -> Bound<'_, PyType>

Returns the safe abstraction over the type object.

fn is_type_of_bound(object: &Bound<'_, PyAny>) -> bool

Checks if object is an instance of this type or a subclass of this type.

fn is_exact_type_of_bound(object: &Bound<'_, PyAny>) -> bool

Checks if object is an instance of this type.