Struct TrancheSettlement 

pub struct TrancheSettlement {
    pub entity: String,
    pub event_date: NaiveDate,
    pub protection: f64,
    pub write_down: f64,
    pub accrued: f64,
    pub attach: f64,
    pub detach: f64,
}

What a credit event settles on a tranche position, and where it leaves the tranche.

The event’s loss w·(1 − R) reduces the capital structure from the bottom and its recovered amount w·R from the top: the tranche absorbs the part of the loss that falls in it, which the protection seller pays, and is written down by the part of the recovery that falls in it.

Fields

entity: String

The defaulted entity.

event_date: NaiveDate

The event date.

protection: f64

The loss the tranche absorbs, signed to the holder: received by a protection buyer.

write_down: f64

The recovered amount written off the tranche’s notional from the top, unsigned: a notional reduction with no cash.

accrued: f64

The premium accrued over the running period on the notional the event removed (the loss and the write-down), signed to the holder.

attach: f64

The attachment after the event, on the surviving pool.

detach: f64

The detachment after the event, on the surviving pool.

Trait Implementations

impl Clone for TrancheSettlement

fn clone(&self) -> TrancheSettlement

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for TrancheSettlement

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

Formats the value using the given formatter.

impl PartialEq for TrancheSettlement

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