Struct PiecewiseSpread 

pub struct PiecewiseSpread {
    reference_date: NaiveDate,
    dates: Vec<NaiveDate>,
    taus: Vec<f64>,
    spreads: Vec<f64>,
}

A dated spread: DF(t) = exp(−s(τ)·τ), with s linear between pillars and flat beyond the last.

The pillars are free parameters, so a composed curve carrying one reports spread risk on its own axis. No pillars is a zero spread — a multiplier of one, so composing with any base reproduces the base exactly.

Fields

reference_date: NaiveDate

dates: Vec<NaiveDate>

taus: Vec<f64>

spreads: Vec<f64>

Continuously-compounded spread at each pillar.

Implementations

impl PiecewiseSpread

pub fn new( reference_date: NaiveDate, pillars: &[(NaiveDate, f64)], ) -> Result<Self, CurveError>

Builds a dated spread curve.

Errors

CurveError::Malformed if the pillar dates do not strictly increase from the reference date.

pub fn pillar_dates(&self) -> &[NaiveDate]

The pillar dates.

pub fn parameters(&self) -> &[f64]

The free parameters — the spread at each pillar.

pub fn reference_date(&self) -> NaiveDate

The date the pillars are measured from.

pub fn spread_at(&self, date: NaiveDate) -> Result<f64, CurveError>

The spread read at date: linear between pillars, flat beyond the last and before the first — the same reading the discount factor exp(−s(τ)·τ) is built on, passively.

Errors

CurveError if date precedes the reference date.

pub fn view<R: Scalar>(&self) -> PiecewiseSpreadView<'_, R>

This spread lifted into mode R.

pub(crate) fn view_with_slice<'a, R: Scalar>( &'a self, rest: &mut &'a [R], ) -> PiecewiseSpreadView<'a, R>

One step of a substituted walk. See take_params.

pub(crate) fn view_seeding<R: Scalar + Seedable>( &self, seed: &mut Option<usize>, ) -> PiecewiseSpreadView<'_, R>

One step of the seeded walk. See take_seed.

Trait Implementations

impl Clone for PiecewiseSpread

fn clone(&self) -> PiecewiseSpread

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for PiecewiseSpread

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

Formats the value using the given formatter.

impl PartialEq for PiecewiseSpread

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

Tests for self and other values to be equal, and is used by ==.

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

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

impl StructuralPartialEq for PiecewiseSpread