Enum TrancheRecovery 

pub enum TrancheRecovery {
    Contract(RecoveryModel),
    Market,
}

Where a tranche’s recovery model comes from.

A contract model is data on the trade and carries no risk row. The market model is Amraoui–Hitier on the floor the market marks for the tranche’s index (MarketContext::with_recovery_floor), read in the pricing mode, so it carries a row on the recovery axis — a base-correlation desk calibrates the floor to the super-senior tranche.

Variants

Contract(RecoveryModel)

A recovery model stated on the trade.

Market

Amraoui–Hitier on the market’s floor for the index.

Implementations

impl TrancheRecovery

pub fn from_floor(floor: Option<TrancheMark>) -> Result<Self, CreditError>

The recovery model an optional floor names: none is constant recovery, a number Amraoui–Hitier on that floor, "Market" Amraoui–Hitier on the market’s.

Errors

CreditError::RecoveryFloor for a contract floor outside [0, 1).

Trait Implementations

impl Clone for TrancheRecovery

fn clone(&self) -> TrancheRecovery

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Copy for TrancheRecovery

impl Debug for TrancheRecovery

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

Formats the value using the given formatter.

impl Default for TrancheRecovery

fn default() -> Self

Returns the “default value” for a type.

impl From<RecoveryModel> for TrancheRecovery

fn from(model: RecoveryModel) -> Self

Converts to this type from the input type.

impl PartialEq for TrancheRecovery

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