Enum TrancheCopula 

pub enum TrancheCopula {
    Contract(Copula),
    Market,
}

Where a tranche’s copula comes from.

A contract copula is data on the trade and carries no risk row. The market copula is the double-t on the degrees of freedom the market marks for the tranche’s index (MarketContext::with_copula_dof), read in the pricing mode, so each carries a row on the correlation axis — a t-copula desk calibrates them to the tranche skew.

Variants

Contract(Copula)

A copula stated on the trade.

Market

The double-t on the market’s degrees of freedom for the index.

Implementations

impl TrancheCopula

pub fn from_degrees_of_freedom( factor_dof: Option<TrancheMark>, idiosyncratic_dof: Option<TrancheMark>, ) -> Result<Self, CreditError>

The copula a pair of optional degrees of freedom names: neither is the Gaussian, two numbers the checked double-t, two "Market" the double-t on the market’s.

Errors

CreditError::DegreesOfFreedomPair for one without the other, CreditError::DegreesOfFreedomSource for one of each source, and as Copula::student_t.

Trait Implementations

impl Clone for TrancheCopula

fn clone(&self) -> TrancheCopula

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Copy for TrancheCopula

impl Debug for TrancheCopula

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

Formats the value using the given formatter.

impl Default for TrancheCopula

fn default() -> Self

Returns the “default value” for a type.

impl From<Copula> for TrancheCopula

fn from(copula: Copula) -> Self

Converts to this type from the input type.

impl PartialEq for TrancheCopula

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