Struct CreditLadder 

struct CreditLadder<'a> {
    reference: NaiveDate,
    discount: &'a Curve,
    rungs: &'a [Rung],
    recovery: Option<f64>,
    fixings: &'a FixingStore,
    fx: &'a FxRates,
    tolerance: Tolerance,
    day_count: DayCountFraction,
}

What a credit ladder was solved against — the part of its inputs its read back needs, whichever family it solved.

Fields

reference: NaiveDate

discount: &'a Curve

rungs: &'a [Rung]

recovery: Option<f64>

fixings: &'a FixingStore

fx: &'a FxRates

tolerance: Tolerance

day_count: DayCountFraction

Implementations

impl CreditLadder<'_>

fn solve_pillars( &self, build: impl Fn(&[f64]) -> Result<Survival, CalibrationError>, ) -> Result<(Vec<f64>, Vec<PillarSolve>), CalibrationError>

The pillars solved one by one, each from the one before, on the curve build makes of the per-pillar parameters — the hazard or the density ladder, one body. A contract pillared on its maturity reads almost nothing past it, so one pass nearly solves the ladder; but a weekend maturity’s last coupon is observed the day before its Monday payment, a day into the next segment, so solving that segment moves the rung behind it. The pass therefore sweeps again, each pillar from its solved value, until a sweep takes no step — or max_sweeps is spent.

fn read_back( &self, storage: &Survival, params: &[f64], family: SurvivalFamily, ) -> Result<(Provenance, Arc<SurvivalRefit>), CalibrationError>

The solved curve’s ladder and refit: every rung read back and differentiated at the solution over params, checked as a rate ladder is, and inverted into parameter per unit quote.