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CalibratedSurvival

helixrs::calibration

Struct CalibratedSurvival

pub struct CalibratedSurvival {
    pub curve: IsdaSurvival,
    pub solves: Vec<PillarSolve>,
    pub provenance: Provenance,
    pub refit: Arc<SurvivalRefit>,
}

Expand description

A survival curve solved from a ladder of credit default swaps: the ISDA piecewise-flat-hazard curve and one solve record per pillar.

Fields§

§curve: IsdaSurvival

The solved curve: one hazard segment per rung, in solve order.

§solves: Vec<PillarSolve>

One entry per pillar, in solve order.

§provenance: Provenance

The ladder: the rungs and ∂h/∂q, hazard per unit quote — what a par-basis reading on the credit axis flips through. Always a ladder: the ISDA curve records exact adjoints, so nothing is withheld.

§refit: Arc<SurvivalRefit>

What the curve was solved from, kept so it can be solved again under another recovery with its quotes held.

Trait Implementations§

impl Clone for CalibratedSurvival

fn clone(&self) -> CalibratedSurvival

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

impl Debug for CalibratedSurvival

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

Formats the value using the given formatter. Read more

impl From<CalibratedSurvival> for PinnedSurvival

fn from(calibrated: CalibratedSurvival) -> Self

A bootstrapped curve pinned with the ladder it reprices.

Auto Trait Implementations§

impl !RefUnwindSafe for CalibratedSurvival

impl !UnwindSafe for CalibratedSurvival

impl Freeze for CalibratedSurvival

impl Send for CalibratedSurvival

impl Sync for CalibratedSurvival

impl Unpin for CalibratedSurvival

impl UnsafeUnpin for CalibratedSurvival

Blanket Implementations§

impl<T> Any for T
where T: 'static + ?Sized,

fn type_id(&self) -> TypeId

Gets the TypeId of self. Read more

impl<T> Borrow<T> for T
where T: ?Sized,

fn borrow(&self) -> &T

Immutably borrows from an owned value. Read more

impl<T> BorrowMut<T> for T
where T: ?Sized,

fn borrow_mut(&mut self) -> &mut T

Mutably borrows from an owned value. Read more

impl<T> CloneToUninit for T
where T: Clone,

unsafe fn clone_to_uninit(&self, dest: *mut u8)

🔬This is a nightly-only experimental API. (clone_to_uninit)

Performs copy-assignment from self to dest. Read more

impl<T> From<T> for T

fn from(t: T) -> T

Returns the argument unchanged.

impl<T, U> Into<U> for T
where U: From<T>,

fn into(self) -> U

Calls U::from(self).

That is, this conversion is whatever the implementation of From<T> for U chooses to do.

impl<T> ToOwned for T
where T: Clone,

type Owned = T

The resulting type after obtaining ownership.

fn to_owned(&self) -> T

Creates owned data from borrowed data, usually by cloning. Read more

fn clone_into(&self, target: &mut T)

Uses borrowed data to replace owned data, usually by cloning. Read more

impl<T, U> TryFrom<U> for T
where U: Into<T>,

type Error = Infallible

The type returned in the event of a conversion error.

fn try_from(value: U) -> Result<T, <T as TryFrom<U>>::Error>

Performs the conversion.

impl<T, U> TryInto<U> for T
where U: TryFrom<T>,

type Error = <U as TryFrom<T>>::Error

The type returned in the event of a conversion error.

fn try_into(self) -> Result<U, <U as TryFrom<T>>::Error>

Performs the conversion.