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market_vega

Function market_vega 

pub fn market_vega(
    calibrated: &CalibratedSigma,
    risk: &RiskVector,
) -> Vec<(StripPoint, f64)>
Expand description

Market vega per strip quote, as a chain rule on an ordinary risk vector: for each quote, the sum over pieces of the piece’s risk row times ∂σ_j/∂ν_i. Nothing is re-priced or re-calibrated. Returns an empty vector when the risk pass carried no row for any of the fit’s labels.