Struct FlatHazard 

pub struct FlatHazard {
    reference_date: NaiveDate,
    hazard: f64,
    day_count: DayCountFraction,
    reference_ordinal: i32,
    fast_basis: Option<f64>,
}

A constant-hazard curve: S(t) = exp(−h·τ), h(t) = h.

The single-parameter credit curve, and the credit analogue of a flat discount curve — except that the hazard is a free parameter here, where a flat discount curve’s rate is exogenous. A one-name curve quoted off a single spread is calibrated to that spread, so it carries risk on it.

Fields

reference_date: NaiveDate

hazard: f64

day_count: DayCountFraction

reference_ordinal: i32

reference_date as a day number, and the divisor an ordinal query measures time with when the day count admits one.

fast_basis: Option<f64>

Implementations

impl FlatHazard

pub fn new( reference_date: NaiveDate, hazard: f64, day_count: DayCountFraction, ) -> Result<Self, CurveError>

A flat-hazard curve with constant hazard hazard under day_count.

Errors

CurveError::Malformed if the hazard is negative — a negative hazard is a survival probability that rises with time.

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

The free parameter — the hazard.

pub fn day_count(&self) -> DayCountFraction

The convention the hazard is quoted and integrated under.

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

This curve lifted into mode R.

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

One step of a substituted walk. See take_params.

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

One step of the seeded walk. See take_seed.

Trait Implementations

impl Clone for FlatHazard

fn clone(&self) -> FlatHazard

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for FlatHazard

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

Formats the value using the given formatter.

impl PartialEq for FlatHazard

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