Struct IsdaSurvival 

pub struct IsdaSurvival {
    reference_date: NaiveDate,
    pillar_dates: Vec<NaiveDate>,
    hazards: Vec<f64>,
    day_count: DayCountFraction,
    seg_tau: Vec<f64>,
    reference_ordinal: i32,
    pillar_ordinals: Vec<i32>,
    fast_basis: Option<f64>,
}

The ISDA-standard piecewise-flat-hazard curve — what a CDS bootstrap returns.

hazards[i] is the constant hazard over the half-open segment (previous pillar, pillar_dates[i]], the first running from the reference date. The hazard query is right-closed at a pillar by ISDA convention, and past the last pillar the final segment’s hazard extends rather than the survival probability going flat — a flat S past the last quoted tenor would assert the entity cannot default there, which no quote supports.

Fields

reference_date: NaiveDate

pillar_dates: Vec<NaiveDate>

hazards: Vec<f64>

The free parameters: one constant hazard per segment.

day_count: DayCountFraction

seg_tau: Vec<f64>

Each segment’s year fraction under day_count, from the previous pillar (or the reference date) to its own — the passive weights a cumulative-hazard query fuses over, computed once here so a query is a segment locate plus one partial period rather than a walk of the convention over every pillar behind it.

reference_ordinal: i32

The reference date and pillar dates as day numbers, and the divisor an ordinal query measures the open segment with when the day count admits one — None routes the ordinal query through the date path.

pillar_ordinals: Vec<i32>

fast_basis: Option<f64>

Implementations

impl IsdaSurvival

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

A curve from (pillar date, segment hazard) pairs.

Errors

CurveError::Malformed if there are no segments, if the pillar dates do not strictly increase from the reference date, or if a hazard is negative.

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

The pillar dates, in order.

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

The free parameters — the segment hazards.

pub fn day_count(&self) -> DayCountFraction

The convention the hazards are integrated under.

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

This curve lifted into mode R.

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

One step of a substituted walk. See take_params.

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

One step of the seeded walk. See take_seed.

fn segment_index(&self, date: NaiveDate) -> usize

The segment a date falls in, right-closed at a pillar, clamped past the last.

Trait Implementations

impl Clone for IsdaSurvival

fn clone(&self) -> IsdaSurvival

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for IsdaSurvival

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

Formats the value using the given formatter.

impl PartialEq for IsdaSurvival

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