Enum Selector 

#[non_exhaustive]
pub enum Selector {
    Axis(RiskAxis),
    Curve(CurveId),
    FxPair(CurrencyPair),
    VolSurface(VolSurfaceId),
    FxSmile {
        pair: CurrencyPair,
        component: SmileComponent,
    },
    CmsSpreadCorrelation {
        first: String,
        second: String,
    },
    CreditQuotes {
        credit: CreditCurveId,
    },
    RateQuotes {
        curve: CurveId,
    },
    TrancheModel {
        index: CreditIndexId,
        input: TrancheInput,
    },
    FuturePrice(ListedFutureId),
}

What one leg of a scenario moves.

Passive data, matched against the market’s own identifiers: a selector asks which input, never what it is worth.

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.

Axis(RiskAxis)

Every input on one risk axis.

Curve(CurveId)

One identified curve.

FxPair(CurrencyPair)

One quoted FX spot, in the direction written: a relative move Δ takes base/quote to S·(1 + Δ). The spot inside an FX-implied discount curve is held — moving it against that curve’s fixed outrights would be a rate move.

VolSurface(VolSurfaceId)

One vol surface: a relative move Δ scales every node vol by 1 + Δ, keeping the smile’s shape and the quoting convention.

FxSmile

One FX surface’s smile shape, in vol points: its risk reversal (fx_rr(BASE/QUOTE)) or its butterfly (fx_bf(BASE/QUOTE)).

Fields

pair: CurrencyPair

The surface’s pair.

component: SmileComponent

Which part of the smile moves.

CmsSpreadCorrelation

One pair of swap indices’ market CMS spread correlation (cms_spread_correlation(FIRST/SECOND)), moved absolutely in correlation units by default — a term structure pillar by pillar at each pillar’s expiry, a flat mark by a parallel move only. The pair is order-free, as the market keys it.

Fields

first: String

The first swap-index code, in the market’s order.

second: String

The second swap-index code.

CreditQuotes

One credit’s CDS quotes (credit_quotes(IDENTITY)): the quotes of the rungs its survival curve was calibrated from — a par spread, or an upfront on an upfront-quoted rung — moved absolutely in their own units by default, and the curve solved again from them in the family it was solved in. A curve pinned with no ladder has no quotes, and is refused rather than moved in its hazards.

Fields

credit: CreditCurveId

The credit, as the market keys its survival curve.

RateQuotes

One rate curve’s par quotes (rate_quotes(CURVE), CURVE a rate curve id such as discount(USD) or projection(USD-SOFR)): the quotes of the rungs the curve was calibrated from — a par rate, a basis spread, a STIR future’s futures rate, a bond’s price — moved absolutely in their own units by default, and the curve bootstrapped again from them in the form it was solved in. A curve pinned with no refit has no quotes, and is refused rather than moved in its zero rates.

Fields

curve: CurveId

The curve, under the role the market pins it.

TrancheModel

One credit index’s tranche model input — its recovery floor (recovery_floor(INDEX)), its double-t factor degrees of freedom (factor_dof(INDEX)) or its idiosyncratic ones (idiosyncratic_dof(INDEX)) — moved by a parallel shift, absolutely by default, and re-pinned through the market’s range check.

Fields

index: CreditIndexId

The credit-index id, as the market keys the mark.

input: TrancheInput

Which of the index’s marks moves.

FuturePrice(ListedFutureId)

One listed future’s quoted price (future_price(CONTRACT)), moved by a parallel shift — absolutely in price points by default, or relatively. A contract the market quotes no price for is refused.

Implementations

impl Selector

pub fn cms_spread_correlation(first: &str, second: &str) -> Self

The selector moving the market’s CMS spread correlation for the swap indices first and second, in either order.

pub fn tranche_model(index: CreditIndexId, input: TrancheInput) -> Self

The selector moving input, one of the credit index index’s tranche model marks.

pub fn credit_quotes(credit: CreditCurveId) -> Self

The selector moving the CDS quotes entity’s survival curve was calibrated from, and solving the curve again.

pub fn rate_quotes(curve: CurveId) -> Self

The selector moving the par quotes the rate curve curve was calibrated from, and bootstrapping it again.

pub fn admits(&self, id: &CurveId) -> bool

Whether this selector admits the curve id names.

fn admits_vol(&self, id: &VolSurfaceId) -> bool

Whether this selector reaches the vol surface id.

fn selects_vols(&self) -> bool

Whether this selector reaches vol surfaces at all.

fn fx_target(&self) -> Option<FxTarget>

Which FX spots this selector reaches, if any.

fn supported(&self) -> Result<(), ScenarioError>

The axes and curves no shock transform reaches.

Trait Implementations

impl Clone for Selector

fn clone(&self) -> Selector

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for Selector

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

Formats the value using the given formatter.

impl Display for Selector

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

Formats the value using the given formatter.

impl FromStr for Selector

The inverse of Display: an axis name, a curve, or fx(BASE/QUOTE).

type Err = SelectorParseError

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 PartialEq for Selector

fn eq(&self, other: &Selector) -> 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 Selector