quant::portfolio Namespace Reference

Vectorized vanilla-option portfolio valuation and deterministic stress P&L. More...

Classes
struct	MarketShock
struct	PortfolioTotals
struct	PositionRisk
struct	RiskResult
struct	ScenarioResult
struct	VanillaPosition

Enumerations
enum class	OptionType : int { Put = -1 , Call = 1 }

Functions
RiskResult	price_risk (const std::vector< VanillaPosition > &positions)
ScenarioResult	scenario_pnl (const std::vector< VanillaPosition > &positions, const std::vector< MarketShock > &shocks, bool include_position_pnl=false)

Detailed Description

Vectorized vanilla-option portfolio valuation and deterministic stress P&L.

Enumeration Type Documentation

OptionType

enum class quant::portfolio::OptionType : int

strong

Enumerator
Put
Call

Function Documentation

price_risk()

RiskResult quant::portfolio::price_risk

(

const std::vector< VanillaPosition > &

positions

)

Validate and value a non-empty portfolio. Throws std::invalid_argument on non-finite or economically invalid inputs.

scenario_pnl()

ScenarioResult quant::portfolio::scenario_pnl	(	const std::vector< VanillaPosition > &	positions,
		const std::vector< MarketShock > &	shocks,
		bool	include_position_pnl = false
	)

Exact-reprice each position under each shock. When include_position_pnl is false, the potentially large scenario-by-position matrix is not allocated.