Function risky_value_over 

pub(crate) fn risky_value_over<R: Scalar, D, S>(
    flows: &[(NaiveDate, R)],
    face_at: impl Fn(NaiveDate) -> R,
    boundaries: impl IntoIterator<Item = NaiveDate>,
    disc: &D,
    survival: &S,
    recovery: R,
    timing: DefaultPaymentTime,
    pays_on: &dyn Fn(NaiveDate) -> NaiveDate,
) -> Result<R, CurveError>
where
    D: YieldCurve<R>,
    S: SurvivalProbability<R>,

risky_value with the default intervals stated: recovery is walked over consecutive boundaries, each interval [t₀, t₁] paying R·F(t̄)·(S(t₀) − S(t₁)) on the face alive at its midpoint t̄ (whole days, rounded down) — in the mode, so a projected amount can stand for the face — discounted as timing says: from t̄ itself (AtDefault), from pays_on(t₁) — the scheduled payment date for a default in the interval (AtPeriodEnd) — or from pays_on of the last boundary (AtMaturity). The bond walks a RECOVERY_GRID_DAYS-day grid at default; a structured note walks its coupon periods at default; a credit-linked swap walks the curves’ node grid under its own timing.

Errors

Whatever the curves report.