Enum RiskAxis 

#[non_exhaustive]
pub enum RiskAxis {
    Rate,
    Credit,
    Fx,
    Inflation,
    SecuritySpread,
    Repo,
    FxVol,
    RateVol,
    Correlation,
    Recovery,
    CreditVol,
    InflationVol,
    FuturePrice,
    Equity,
    EquityVol,
}

The class of market input a measure reads.

An axis is a filter, not a label: a measure declaring one sums only the entries belonging to it. axis_of is the single classifier, and it has no catch-all arm — adding a key without deciding its axis does not compile.

Variants (Non-exhaustive)

Non-exhaustive enums could have additional variants added in future. Therefore, when matching against variants of non-exhaustive enums, an extra wildcard arm must be added to account for any future variants.

Rate

Discount and projection pillars, including meeting and turn knots.

Credit

Survival-curve parameters — the CS01 axis.

Fx

FX spot, quoted or implied — the FX-delta axis.

Inflation

Inflation-curve parameters.

SecuritySpread

Per-security spread curves — a bond’s spread axis, distinct from the benchmark curve it is quoted over.

Repo

Repo/financing curves. Distinct from RiskAxis::Rate: a repo pillar is a financing spread, not a discount rate.

FxVol

FX vol-surface nodes — the FX vega axis.

RateVol

Rate vol-surface nodes — the swaption and bond-option vega axis.

Correlation

Base-correlation points — a tranche’s correlation axis, bucketed by detachment.

Recovery

Market recoveries, one per entity, with the survival curve held.

CreditVol

Credit vol-surface nodes — the CDS option vega axis.

InflationVol

Inflation vol-surface nodes — the year-on-year optionlet vega axis.

FuturePrice

Quoted listed-futures prices — the futures-delta axis of an option on a future. Distinct from RiskAxis::Rate: a price point is not a pillar.

Equity

Quoted equity spots — the equity-delta axis.

EquityVol

Equity vol-surface nodes — the equity option vega axis.

Implementations

impl RiskAxis

pub const ACCEPTED: &'static [&'static str]

Every spelling this vocabulary accepts, canonical forms first.

Matching additionally ignores case and _/-/whitespace — see normalize in core::vocabulary.

pub fn code(self) -> &'static str

The canonical code for this variant; round-trips through FromStr.

impl RiskAxis

pub const ALL: [RiskAxis; 15]

Every axis, for a caller sweeping them.

pub fn asset_class(self) -> AssetClass

The desk this axis’s risk is run on.

Exhaustive, like axis_of: a new axis does not compile until someone decides whose it is. A bond’s security spread is Credit — it is the spread over the benchmark, not the benchmark.

pub fn quantity_kind(self) -> QuantityKind

The kind of quantity this axis’s quote is — what a caller’s default scale is chosen per.

Keyed by the quote rather than by the desk, so a caller who wants every vol in basis points says so once, whether the vol is a rate’s or an FX pair’s.

Trait Implementations

impl Clone for RiskAxis

fn clone(&self) -> RiskAxis

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Copy for RiskAxis

impl Debug for RiskAxis

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

Formats the value using the given formatter.

impl Display for RiskAxis

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

Formats the value using the given formatter.

impl Eq for RiskAxis

impl FromIterator<RiskAxis> for AxisSet

fn from_iter<I: IntoIterator<Item = RiskAxis>>(iter: I) -> Self

Creates a value from an iterator.

impl FromStr for RiskAxis

type Err = VocabularyParseError

The associated error which can be returned from parsing.

fn from_str(s: &str) -> Result<Self, Self::Err>

Parses a string s to return a value of this type.

impl Hash for RiskAxis

fn hash<__H: Hasher>(&self, state: &mut __H)

Feeds this value into the given Hasher.

fn hash_slice<H>(data: &[Self], state: &mut H)

where H: Hasher, Self: Sized,

Feeds a slice of this type into the given Hasher.

impl PartialEq for RiskAxis

fn eq(&self, other: &RiskAxis) -> bool

Tests for self and other values to be equal, and is used by ==.

fn ne(&self, other: &Rhs) -> bool

Tests for !=. The default implementation is almost always sufficient, and should not be overridden without very good reason.

impl StructuralPartialEq for RiskAxis