Struct PiecewiseSurvival 

pub struct PiecewiseSurvival {
    reference_date: NaiveDate,
    dates: Vec<NaiveDate>,
    taus: Vec<f64>,
    log_survival: Vec<f64>,
    day_count: DayCountFraction,
}

A survival curve stored as log-survival at dated pillars — the credit analogue of the piecewise discount curve, and interchangeable with IsdaSurvival behind the evaluation trait.

The anchor (τ = 0, ln S = 0) is implicit rather than stored, for the same reason the discount curve’s is: it is not a free parameter, and storing it would put a permanently-zero row in every risk ladder. Past the last pillar the final segment’s constant forward hazard continues, which is what keeps this family agreeing with IsdaSurvival in the tail.

Fields

reference_date: NaiveDate

dates: Vec<NaiveDate>

taus: Vec<f64>

log_survival: Vec<f64>

The free parameters: ln S at each pillar.

day_count: DayCountFraction

Implementations

impl PiecewiseSurvival

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

A curve from (pillar date, survival probability) pairs.

Errors

CurveError::Malformed if there are no pillars, if the dates do not strictly increase from the reference date, or if a survival probability is outside (0, 1].

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

The pillar dates, in order.

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

The free parameters — log survival at each pillar.

pub fn day_count(&self) -> DayCountFraction

The convention the pillars are dated under.

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

This curve lifted into mode R.

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

One step of a substituted walk. See take_params.

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

One step of the seeded walk. See take_seed.

Trait Implementations

impl Clone for PiecewiseSurvival

fn clone(&self) -> PiecewiseSurvival

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for PiecewiseSurvival

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

Formats the value using the given formatter.

impl PartialEq for PiecewiseSurvival

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