Struct NthToDefaultSwap 

pub struct NthToDefaultSwap {
    pub cds: CreditDefaultSwap,
    pub entities: Vec<CreditCurveId>,
    pub n: usize,
    pub correlation: BasketCorrelation,
    pub copula: Copula,
    pub copula_dof: Option<CreditIndexId>,
}

An nth-to-default basket swap: premium accrues while fewer than n constituents have defaulted; protection pays (1 − R̄)·N on the nth default. The trigger survival Q(t) = P(N(t) < n) comes from the one-factor Gaussian copula’s count distribution with each constituent’s default probability read off its own survival curve — the first product declaring a basket of entities.

Fields

cds: CreditDefaultSwap

The standard contract shape (schedule, coupon, notional, protection start), labelled NTD:n/k — the label is not a credit entity.

entities: Vec<CreditCurveId>

The constituents, in declaration order.

n: usize

The trigger rank, 1..=k.

correlation: BasketCorrelation

The basket’s asset correlation: a contract term, or a market input.

copula: Copula

The one-factor copula the count distribution is read under: Gaussian unless with_student_t.

copula_dof: Option<CreditIndexId>

The credit index whose market double-t degrees of freedom the basket reads in place of copula, each with a risk row on the correlation axis; see on_market_copula_dof.

Implementations

impl NthToDefaultSwap

pub fn standard( template: &CdsTemplate, trade_date: NaiveDate, entities: Vec<CreditCurveId>, n: usize, currency: Currency, tenor_years: u32, notional: f64, spread: f64, correlation: f64, buys_protection: bool, ) -> Result<Self, CreditError>

A standard basket swap.

Errors

CreditError for an empty or duplicated basket, a rank outside 1..=k, or a correlation outside [0, 1).

pub fn standard_maturing( template: &CdsTemplate, trade_date: NaiveDate, entities: Vec<CreditCurveId>, n: usize, currency: Currency, maturity: NaiveDate, notional: f64, spread: f64, correlation: f64, buys_protection: bool, ) -> Result<Self, CreditError>

standard with the maturity supplied directly.

The pair mirrors CreditDefaultSwap::standard and its twin. Every basket check stays here, on the constructor that builds, so the tenor-taking form cannot skip one.

Errors

As standard.

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

Locks a contractual uniform recovery.

pub fn on_market_correlation(self, key: impl Into<String>) -> Self

Reads the correlation from the market’s basket correlation under key rather than the contract’s, so it carries a risk row on the correlation axis. A market without it is refused by name.

pub fn on_market_copula_dof(self, index: CreditIndexId) -> Self

Prices under the double-t copula on the degrees of freedom the market marks for the credit index index (MarketContext::with_copula_dof), as a tranche’s on_market_copula_dof does, so each carries a risk row on the correlation axis. A market without them is refused by name.

pub fn with_student_t( self, factor_dof: f64, idiosyncratic_dof: f64, ) -> Result<Self, CreditError>

Prices under the double-t copula (Copula::StudentT): the factor and each constituent Student-t with factor_dof and idiosyncratic_dof degrees of freedom, scaled to unit variance, each constituent’s threshold solved against its own default probability.

Errors

CreditError::DegreesOfFreedom for a degree of freedom not in (2, ∞).

impl NthToDefaultSwap

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

(premium annuity on the trigger survival, protection) on the notional, with the uniform recovery applied.

Trait Implementations

impl Clone for NthToDefaultSwap

fn clone(&self) -> NthToDefaultSwap

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for NthToDefaultSwap

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

Formats the value using the given formatter.

impl PartialEq for NthToDefaultSwap

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

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

Buyer protection − premium, signed by side.

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

The par rate — the fixed rate at which the product is worth nothing.

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 NthToDefaultSwap

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

The collateral and the basket; the contract’s label is not an entity.

impl Product for NthToDefaultSwap

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 NthToDefaultSwap