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SurvivalProbability

helixrs::curves::survival

Trait SurvivalProbability 

pub trait SurvivalProbability<R: Scalar> {
    // Required methods
    fn reference_date(&self) -> NaiveDate;
    fn survival_probability(&self, date: NaiveDate) -> Result<R, CurveError>;
    fn hazard_rate(&self, date: NaiveDate) -> Result<R, CurveError>;

    // Provided methods
    fn log_survival(&self, date: NaiveDate) -> Result<R, CurveError> { ... }
    fn survival_probability_at_ordinal(
        &self,
        ordinal: i32,
    ) -> Result<R, CurveError> { ... }
    fn log_survival_at_ordinal(&self, ordinal: i32) -> Result<R, CurveError> { ... }
    fn default_probability(&self, date: NaiveDate) -> Result<R, CurveError> { ... }
    fn default_density(&self, date: NaiveDate) -> Result<R, CurveError> { ... }
}
Expand description

What a credit pricer sees. Two questions, one mode, no AD vocabulary.

default_probability and default_density are derived rather than required: they are restatements of the two primitives, and a family that could answer them differently would be answering a different question.

Required Methods§

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).

§Errors

CurveError::BeforeReference if date precedes the reference date.

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

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

§Errors

CurveError::BeforeReference if date precedes the reference date.

Provided Methods§

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.

§Errors

CurveError::BeforeReference if date precedes the reference date.

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.

§Errors

CurveError::BeforeReference if ordinal precedes the reference date’s, exactly as the date query reports it.

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

The log survival at ordinal; see survival_probability_at_ordinal.

§Errors

As survival_probability_at_ordinal.

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

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

§Errors

CurveError::BeforeReference if date precedes the reference date.

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

The default density f(t) = h(t)·S(t).

§Errors

CurveError::BeforeReference if date precedes the reference date.

Dyn Compatibility§

This trait is dyn compatible.

In older versions of Rust, dyn compatibility was called "object safety".

Implementors§