Struct CdsDiagnostics 

pub struct CdsDiagnostics {
    pub premium: f64,
    pub accrual: f64,
    pub rebate: f64,
    pub upfront: f64,
    pub protection: f64,
    pub annuity: f64,
}

What a credit default swap resolved to when it was priced: each part of its value, signed as it enters that value, and the risky annuity behind its quote.

The parts sum to npv. They are reported signed rather than as magnitudes because a protection buyer’s premium leg is a cost and its protection leg is a benefit, and a reader needs to know which is which without inferring it from a side.

The premium leg here is the survival-weighted one the pricer computes. It is not what summing the contract’s cashflow leg gives: that leg is a schedule of coupons, and discounting it without weighting each by the probability of surviving to collect it values a bond, not a swap.

Fields

premium: f64

The survival-weighted premium leg.

accrual: f64

The premium accrued to the default date, under the contract’s accrual-on-default convention.

rebate: f64

The accrual the first coupon charges for but protection did not cover, returned at cash settlement and discounted from it.

upfront: f64

The upfront, as money rather than as a decimal of the notional, discounted from the cash-settlement date it is paid on.

protection: f64

The protection leg: the default-time integral over the contract’s grid.

annuity: f64

The risky annuity at unit coupon, which is what the quote divides by. Unsigned: it is a per-unit-coupon cost, not a value.

Implementations

impl CdsDiagnostics

pub fn npv(&self) -> f64

The contract’s value: its parts, which are already signed, added up.

Trait Implementations

impl Clone for CdsDiagnostics

fn clone(&self) -> CdsDiagnostics

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Copy for CdsDiagnostics

impl Debug for CdsDiagnostics

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

Formats the value using the given formatter.

impl PartialEq for CdsDiagnostics

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