Struct DensitySurvival 

pub struct DensitySurvival {
    reference_date: NaiveDate,
    dates: Vec<NaiveDate>,
    taus: Vec<f64>,
    densities: Vec<f64>,
    flat_first: bool,
    day_count: DayCountFraction,
}

A survival curve stated by its default density, f(t) = −dS/dt.

The density is linear between nodes, the first node at the reference date, and flat past the last; S(t) = 1 − ∫₀ᵗ f is integrated exactly (the trapezoid of a linear segment), and the hazard is f/S. The densities are the free parameters, and S is affine in them, so the adjoint is exact. A density flat past the last node keeps S falling linearly; a query where it would reach zero is refused.

Fields

reference_date: NaiveDate

dates: Vec<NaiveDate>

taus: Vec<f64>

densities: Vec<f64>

The free parameters: the default density at each node — or, for a flat-first curve, at each node after the reference date.

flat_first: bool

Whether the reference node reads the first pillar’s density rather than holding its own, so that a calibrated curve carries one free parameter per rung.

day_count: DayCountFraction

Implementations

impl DensitySurvival

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

A curve from (date, density) nodes, the first on the reference date.

Errors

CurveError::Malformed if there are fewer than two nodes, the first is not on the reference date, the dates do not strictly increase, a density is negative or not finite, or the densities exhaust survival by the last node.

pub(crate) fn flat_first( reference_date: NaiveDate, pillars: &[(NaiveDate, f64)], day_count: DayCountFraction, ) -> Result<Self, CurveError>

A curve from (date, density) pillars after the reference date, the density at the reference date being the first pillar’s: one free parameter per pillar, the first segment flat whatever the parameters.

Errors

As new, on the nodes the pillars imply.

fn check_survival(self) -> Result<Self, CurveError>

The curve, or the refusal of densities that exhaust survival by the last node.

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

The date each free parameter is the density of — every node’s, or, for a flat-first curve, every node’s after the reference date, the first of them also carrying the reference date’s.

pub(crate) fn parameter_taus(&self) -> &[f64]

The year fraction of each parameter’s date, as parameter_dates.

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

The node dates, the reference date first.

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

The free parameters — the density at each node, or at each node after the reference date for a flat-first curve.

pub fn day_count(&self) -> DayCountFraction

The convention the nodes are dated under.

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

This curve lifted into mode R.

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

One step of a substituted walk. See take_params.

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

One step of the seeded walk. See take_seed.

Trait Implementations

impl Clone for DensitySurvival

fn clone(&self) -> DensitySurvival

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for DensitySurvival

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

Formats the value using the given formatter.

impl PartialEq for DensitySurvival

fn eq(&self, other: &DensitySurvival) -> 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 DensitySurvival