portfolio.hpp

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#pragma once
 
#include <cstddef>
#include <vector>
 
namespace quant::portfolio {
 
enum class OptionType : int { Put = -1, Call = 1 };
 
struct VanillaPosition {
    OptionType type;
    double quantity;
    double spot;
    double strike;
    double rate;
    double dividend;
    double volatility;
    double time;
};
 
struct PositionRisk {
    double price;
    double value;
    double delta;
    double gamma;
    double vega;
    double theta;
    double rho;
};
 
struct PortfolioTotals {
    double value{};
    double delta{};
    double gamma{};
    double vega{};
    double theta{};
    double rho{};
};
 
struct RiskResult {
    std::vector<PositionRisk> positions;
    PortfolioTotals totals;
};
 
struct MarketShock {
    double spot_return;
    double volatility_shift;
    double rate_shift;
    double dividend_shift;
    double time_elapsed;
};
 
struct ScenarioResult {
    std::size_t scenario_count{};
    std::size_t position_count{};
    double base_portfolio_value{};
    std::vector<double> portfolio_pnl;
    // Scenario-major (scenario_count, position_count); empty in aggregate-only mode.
    std::vector<double> position_pnl;
};
 
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);
 
} // namespace quant::portfolio