Function risky_value 

pub fn risky_value<R: Scalar, D, S>(
    flows: &[(NaiveDate, R)],
    face_at: impl Fn(NaiveDate) -> f64,
    maturity: NaiveDate,
    disc: &D,
    survival: &S,
    recovery: R,
    default_from: NaiveDate,
) -> Result<R, CurveError>
where
    D: YieldCurve<R>,
    S: SurvivalProbability<R>,

The survival-weighted value of flows plus a recovery-of-face leg.

Each promised flow pays only if the issuer survives to its date: Σ amount·DF(t)·S(t). Default pays recovery · face_at(mid) — recovery on the face alive at the midpoint of the interval it falls in, which an amortiser pays down — over RECOVERY_GRID_DAYS-day intervals from default_from to maturity: Σ_j R·F(t̄_j)·DF(t̄_j)·(S(t_{j−1}) − S(t_j)). Every term is in the mode, so the value carries discount, spread, hazard and recovery sensitivities on their own axes. The recovery leg is walked even at a zero recovery, whose value it leaves untouched, so the recovery sensitivity there is not dropped.

Errors

Whatever the curves report.