Struct PiecewiseSurvivalView 

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

PiecewiseSurvival lifted into one pricing mode.

Fields

data: &'a PiecewiseSurvival

params: Cow<'a, [R]>

Implementations

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

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

This mode’s parameters.

fn left_of(&self, hi: usize) -> (f64, R)

The pillar to the left of index hi, with the implicit anchor standing in at the left end.

fn segment_hazard(&self, hi: usize) -> R

The constant forward hazard of the segment ending at pillar hi.

fn log_survival_at(&self, tau: f64) -> R

ln S at tau: linear between pillars, and past the last pillar the final segment’s hazard continues.

Trait Implementations

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

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

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

Formats the value using the given formatter.

impl<R: Scalar> SurvivalProbability<R> for PiecewiseSurvivalView<'_, 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 hazard_rate(&self, date: NaiveDate) -> Result<R, CurveError>

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

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 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).