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StressTestResult

qualia_core_db::specialized_libs::financial_modeling

Struct StressTestResult 

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pub struct StressTestResult {
    pub var_95: f64,
    pub var_99: f64,
    pub expected_shortfall: f64,
    pub max_drawdown: f64,
    pub probability_of_loss: f64,
    pub mean_portfolio_value: f64,
    pub std_dev: f64,
    pub num_simulations: usize,
}
Expand description

Aggregated results of a Monte Carlo stress-test simulation run.

All monetary values are expressed in the portfolio’s currency. VaR figures are reported as positive numbers representing the magnitude of loss at the given confidence level (i.e. the loss that is not exceeded with the stated probability). expected_shortfall is the average loss in the tail beyond the 95% VaR. max_drawdown is the worst single-simulation loss relative to the initial portfolio value.

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§var_95: f64

Value-at-Risk at the 95% confidence level (positive = loss magnitude).

§var_99: f64

Value-at-Risk at the 99% confidence level (positive = loss magnitude).

§expected_shortfall: f64

Expected shortfall (average loss beyond the 95% VaR).

§max_drawdown: f64

Largest single-simulation loss relative to the initial portfolio value.

§probability_of_loss: f64

Fraction of simulations that ended below the initial portfolio value.

§mean_portfolio_value: f64

Mean portfolio value across all simulations.

§std_dev: f64

Standard deviation of simulated portfolio values.

§num_simulations: usize

Number of simulations run.

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impl Clone for StressTestResult

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fn clone(&self) -> StressTestResult

Returns a duplicate of the value. Read more
1.0.0 (const: unstable) · Source§

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

Performs copy-assignment from source. Read more
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impl Debug for StressTestResult

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

Formats the value using the given formatter. Read more
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impl PartialEq for StressTestResult

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

Tests for self and other values to be equal, and is used by ==.
1.0.0 (const: unstable) · Source§

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

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

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