Struct ScaledSurvival 

pub struct ScaledSurvival {
    base: Box<Survival>,
    pillars: Vec<NaiveDate>,
    factors: Vec<f64>,
    breaks: Vec<NaiveDate>,
}

A base credit curve whose hazard is multiplied by a piecewise-constant term structure: β_k on the segment ending at the k-th scaling pillar (right-closed, as the ISDA family’s segments are), the last β past it.

ln S'(t) = Σ_k β_k·(ln S(t∧p_k) − ln S(t∧p_{k−1})), exact on any base. It is how an index’s skew adjustment moves every constituent in proportion to its own hazard. The factors are stated data, as a shock’s shift is: a risk pass reads the base’s parameters and holds the skew.

Fields

base: Box<Survival>

pillars: Vec<NaiveDate>

factors: Vec<f64>

breaks: Vec<NaiveDate>

The base’s pillars and the scaling pillars merged: every date the scaled hazard can change on.

Implementations

impl ScaledSurvival

pub fn new( base: Survival, segments: &[(NaiveDate, f64)], ) -> Result<Self, CurveError>

base with its hazard scaled by factors[k] up to pillars[k].

Errors

CurveError::Malformed if there are no factors, the two lists differ in length, the pillars do not strictly increase from the base’s reference date, or a factor is not finite and non-negative.

pub fn base(&self) -> &Survival

The unscaled curve.

pub fn segments(&self) -> Vec<(NaiveDate, f64)>

The (pillar, factor) segments, in pillar order.

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

Every date the scaled hazard can change on.

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

This transform lifted into mode R.

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

One step of a substituted walk; reaches the base only.

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

One step of the seeded walk; the seed reaches the base only.

Trait Implementations

impl Clone for ScaledSurvival

fn clone(&self) -> ScaledSurvival

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for ScaledSurvival

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

Formats the value using the given formatter.

impl PartialEq for ScaledSurvival

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