Struct CreditLinkedNote 

pub struct CreditLinkedNote {
    pub cds: CreditDefaultSwap,
    pub side: f64,
}

A credit-linked note: the funded single-name credit product.

The investor pays par at issue and is long credit: while the entity survives they receive the fixed coupons and par at maturity; on default the note redeems at recovery. The value reuses the CDS legs — coupons + N·DF(T)·S(T) + protection·R/(1−R) — the premium leg being the survival-weighted fixed leg, the protection integral rescaled from (1−R) to R of face.

Fields

cds: CreditDefaultSwap

The underlying contract, built from the investor’s (protection seller’s) side with the note’s coupon as its running spread.

side: f64

+1 for the investor, −1 for the issuer.

Implementations

impl CreditLinkedNote

pub fn standard( template: &CdsTemplate, trade_date: NaiveDate, entity: impl Into<String>, currency: Currency, tenor_years: u32, notional: f64, coupon: f64, ) -> Self

A standard note: the CDS2015 quarterly schedule from the trade date at coupon, floating recovery, investor perspective.

pub fn standard_maturing( template: &CdsTemplate, trade_date: NaiveDate, entity: impl Into<String>, currency: Currency, maturity: NaiveDate, notional: f64, coupon: f64, ) -> Self

standard with the maturity supplied directly.

The pair mirrors CreditDefaultSwap::standard and its twin.

pub fn standard_on( template: &CdsTemplate, trade_date: NaiveDate, credit: CreditCurveId, currency: Currency, maturity: NaiveDate, notional: f64, coupon: f64, ) -> Self

The standard note on credit — a stated identity, so a subordinated name or another documentation clause is built rather than assigned afterwards, as CreditDefaultSwap::standard_on builds the swap.

pub fn issued(self) -> Self

The issuer’s side.

pub fn with_fixed_recovery(self, recovery: f64) -> Self

Locks a contractual recovery on the note.

pub fn credit(&self) -> &CreditCurveId

The credit the note is valued on.

pub fn coupon(&self) -> f64

The note’s coupon.

impl CreditLinkedNote

pub fn components<R: Scalar>( &self, view: &PricingView<'_, R>, ) -> Result<(R, R, R), PricingError>

The investor’s three components: survival-weighted coupons, the survival-weighted par redemption, and recovery of face on default.

Errors

Whatever the underlying contract’s legs report.

Trait Implementations

impl Clone for CreditLinkedNote

fn clone(&self) -> CreditLinkedNote

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for CreditLinkedNote

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

Formats the value using the given formatter.

impl PartialEq for CreditLinkedNote

fn eq(&self, other: &CreditLinkedNote) -> 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<R: Scalar> Priceable<R> for CreditLinkedNote

fn npv(&self, view: &PricingView<'_, R>) -> Result<R, PricingError>

coupons + redemption + recovery, signed by side.

fn par_rate(&self, _view: &PricingView<'_, R>) -> Result<R, PricingError>

The note’s natural rate is its coupon.

fn par_spread(&self, _view: &PricingView<'_, R>) -> Result<R, PricingError>

The par (breakeven) floating-leg spread. Zero for a product with no floating leg.

impl PricingRiskFactors for CreditLinkedNote

fn risk_factors(&self) -> Result<RiskFactors<'_>, PricingError>

The market data this product is priced against.

impl Product for CreditLinkedNote

fn currency(&self) -> Currency

The currency the product pays in. An FX product values in its quote currency; a book converts.

fn contract_dates(&self) -> Vec<(&'static str, NaiveDate)>

The contract dates the product resolved to, as (name, date) pairs — exactly the dates its stated constructor takes, so a product built through a derived form can be read back and rebuilt through the stated one. Empty for a product with no stated form. No default: every product states which it is — see AnyInstrument::contract_dates.

fn legs(&self) -> Option<Vec<&Leg>>

The legs the product itself holds, in a declared order, or None for a product that holds none — see AnyInstrument::legs. No default: every product states which it is.

fn final_payment_date(&self) -> Option<NaiveDate>

The date of the product’s final payment, where a calibration rung can be built on it; None for a product no ladder is built from.

fn restruck_at_rate(&self, _rate: f64) -> Option<AnyInstrument>

This product re-struck at the par rate rate — the scalar a par calibration rung on it is quoted in — or None for a product that carries no such scalar. What a quote scenario moves a rung to.

fn restruck_at_spread(&self, _spread: f64) -> Option<AnyInstrument>

This product re-struck at the basis spread spread on its spread leg, or None for a product that quotes none.

impl StructuralPartialEq for CreditLinkedNote