Struct IsdaSurvivalView 

pub struct IsdaSurvivalView<'a, R: Scalar> {
    data: &'a IsdaSurvival,
    params: Cow<'a, [R]>,
}

IsdaSurvival lifted into one pricing mode.

Fields

data: &'a IsdaSurvival

params: Cow<'a, [R]>

Implementations

impl<R: Scalar> IsdaSurvivalView<'_, R>

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

This mode’s parameters — the segment hazards.

fn cumulative_hazard(&self, date: NaiveDate) -> Result<R, CurveError>

The cumulative hazard ∫h from the reference date to date.

Each segment contributes h_i · (elapsed year fraction), so the integral is one weighted sum over the whole hazard vector with the passive elapsed times as weights — which is the fused aggregate, recording a single n-ary statement in reverse mode rather than a chain of n.

fn cumulative_hazard_at_ordinal(&self, ordinal: i32) -> Result<R, CurveError>

cumulative_hazard by day ordinal: the same prefix sum, the segment located over the stored ordinals, and the open segment measured by integer subtraction under a fast basis — or through the date path under any other convention.

Trait Implementations

impl<'a, R: Clone + Scalar> Clone for IsdaSurvivalView<'a, R>

fn clone(&self) -> IsdaSurvivalView<'a, R>

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl<'a, R: Debug + Scalar> Debug for IsdaSurvivalView<'a, R>

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

Formats the value using the given formatter.

impl<R: Scalar> SurvivalProbability<R> for IsdaSurvivalView<'_, R>

fn reference_date(&self) -> NaiveDate

The date at which the survival probability is 1.

fn survival_probability(&self, date: NaiveDate) -> Result<R, CurveError>

The survival probability S(t) = P(τ > t).

fn log_survival(&self, date: NaiveDate) -> Result<R, CurveError>

The log survival ln S(t) = −∫h — the composition seam on the credit side. A shocked curve adds to it and exponentiates once; the families answer it from what they store rather than ln an exp.

fn survival_probability_at_ordinal(&self, ordinal: i32) -> Result<R, CurveError>

The survival probability at the proleptic-Gregorian day number ordinal — the credit side of YieldCurve::discount_at_ordinal. A family whose day count is actual days over a constant answers it by integer subtraction; the default converts back to a date.

fn log_survival_at_ordinal(&self, ordinal: i32) -> Result<R, CurveError>

The log survival at ordinal; see survival_probability_at_ordinal.

fn hazard_rate(&self, date: NaiveDate) -> Result<R, CurveError>

The instantaneous hazard rate h(t) = −d/dt ln S(t).

fn default_probability(&self, date: NaiveDate) -> Result<R, CurveError>

The default probability P(t) = 1 − S(t).

fn default_density(&self, date: NaiveDate) -> Result<R, CurveError>

The default density f(t) = h(t)·S(t).