Struct SurvivalRefit 

pub struct SurvivalRefit {
    pub reference: NaiveDate,
    pub discount: Curve,
    pub rungs: Vec<Rung>,
    pub tolerance: Tolerance,
    pub day_count: DayCountFraction,
    pub family: SurvivalFamily,
}

The inputs a survival curve was calibrated from, less the recovery and the published data a market carries: enough to solve the same ladder again.

This is what a quote-held recovery sensitivity needs. A recovery move with the curve held changes what a default pays; the market’s CDS quotes were struck against the old recovery, so held quotes imply a different curve, and this measure re-solves it.

Fields

reference: NaiveDate

The curve’s reference date.

discount: Curve

The discount curve the ladder was priced against.

rungs: Vec<Rung>

The rungs, in solve order.

tolerance: Tolerance

How hard each pillar was solved.

day_count: DayCountFraction

The hazard day count.

family: SurvivalFamily

The family the ladder was solved in, and is solved in again.

Implementations

impl SurvivalRefit

pub fn solve( &self, recovery: Option<f64>, fixings: &FixingStore, fx: &FxRates, ) -> Result<PinnedSurvival, CalibrationError>

The same ladder solved again, in the same family, at recovery, against fixings and fx — pinned with its own ladder and refit.

Errors

As calibrate_survival or calibrate_survival_density.

impl SurvivalRefit

pub fn quotes(&self) -> Vec<f64>

The rungs’ quotes, in solve order.

pub fn requoted(&self, quotes: &[f64]) -> Result<Self, CalibrationError>

The same ladder at other quotes, one per rung in solve order — every rung requoted, the rest of the refit kept.

Errors

CalibrationError::Malformed when quotes does not hold one quote per rung, or a rung cannot be requoted.

Trait Implementations

impl Clone for SurvivalRefit

fn clone(&self) -> SurvivalRefit

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for SurvivalRefit

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

Formats the value using the given formatter.