Module context 

The resolved pricing view, the priceable trait, and the mode-free vocabulary a product declares its market data in.

Re-exports

pub use crate::statics::collateral::CollateralSpec;

Structs

CrisisParameters

A credit entity’s crises: a Poisson rate κ, an exponential spread jump of mean m added to the intensity at each, and the probability p that a crisis defaults at once. Market inputs, each its own risk row.

CrossCurrencyDynamics

The correlations a cross-currency simulation reads beyond the intensity’s: of the FX rate with the note currency’s Hull-White factor, with the bond currency’s, and with the issuer’s intensity; of the two Hull-White factors; and of the bond currency’s factor with the intensity. Market inputs from the canonical labels, each its own risk row.

GaussianIntensity

A credit entity’s Gaussian intensity λ = y + ψ(t), dy = −b·y dt + η dW, correlated ρ with a currency’s Hull-White factor, in the pricing mode. ψ is never stated: it is implied by the entity’s survival curve. Market inputs, resolved from the canonical labels, each its own risk row.

HullWhiteParameters

Hull-White model parameters resolved from the market, in the pricing mode.

Lifted 🔒

A stored family lifted into mode R for one pricing call — the core the three resolved types share.

MissingCurveDetail

What a missing-curve refusal knows beside the key: what the market holds, how the curve would be built, and what the valuation needed.

PricingView

The market data one valuation is priced against, resolved once and passed whole across the Priceable seam.

ResolvedCredit

The credit data resolved for one pricing call.

ResolvedCurve

A curve resolved for one pricing call, lifted into mode R.

ResolvedInflation

The inflation curve resolved for one pricing call.

RiskFactors

What a product declares it is priced against. Identifiers only.

Enums

CreditDynamics

The credit model a product reads beyond the credit entity’s curve.

Overlay 🔒

What resolution composes onto a curve.

PricingError

A pricing call that cannot be answered.

SigmaTerm

A Hull-White volatility: one flat value, or a piecewise-constant term.

Traits

Priceable

A product priced through the seam, in one mode.

PricingRiskFactors

What a product declares. Not parameterized by the mode, and never will be — a declaration that changed with the pricing mode would not be a declaration.

Functions

credit_crisis_default_label

The canonical exogenous label carrying the probability a credit entity’s crisis defaults at once: CR-{credit}-CRISIS-DEFAULT.

credit_crisis_jump_mean_label

The canonical exogenous label carrying a credit entity’s mean crisis spread jump: CR-{credit}-CRISIS-JUMP-MEAN.

credit_crisis_rate_label

The canonical exogenous label carrying a credit entity’s crisis rate: CR-{credit}-CRISIS-RATE.

credit_intensity_mean_reversion_label

The canonical exogenous label carrying a credit entity’s Gaussian intensity mean reversion: CR-{credit}-INTENSITY-MEAN-REVERSION.

credit_intensity_vol_label

The canonical exogenous label carrying a credit entity’s Gaussian intensity volatility: CR-{credit}-INTENSITY-VOL.

credit_rate_correlation_label

The canonical exogenous label carrying the correlation between a currency’s Hull-White factor and a credit entity’s intensity: CORR-IR:{CCY}-CR:{credit}.

curve_role_kind 🔒

A curve role as the market’s listing spells its kind. The CurveId display and the listing share every role spelling, so this only lends the role a 'static lifetime; an unknown role lists as a bare curve.

fmt_missing_curve 🔒

The missing-curve refusal: what the market holds instead, a recipe for the key, and what the valuation needs.

fx_credit_correlation_label

The canonical exogenous label carrying the correlation between an FX pair and a credit entity’s intensity: CORR-FX:{pair}-CR:{credit}.

fx_rate_correlation_label

The canonical exogenous label carrying the correlation between an FX pair and a currency’s Hull-White factor: CORR-FX:{pair}-IR:{CCY}.

hull_white_mean_reversion_label

The canonical exogenous label carrying a currency’s Hull-White mean reversion: HW-{CCY}-MEAN-REVERSION.

hull_white_sigma_label

The canonical exogenous label carrying a currency’s Hull-White volatility: HW-{CCY}-SIGMA.

hull_white_sigma_piece_label

The canonical exogenous label carrying one piece of a currency’s Hull-White volatility term: HW-{CCY}-SIGMA-{YYYY-MM-DD}, the date the piece’s interval ends on. The last piece extends flat beyond its date.

lift_storage 🔒

storage lifted into mode R.

missing_future 🔒

A listed future’s missing input, named with the verb that pins it.

parse_hull_white_sigma_piece_label

The end date a dated sigma label for currency names, or None when label is not one — the flat label included.

rate_rate_correlation_label

The canonical exogenous label carrying the correlation between two currencies’ Hull-White factors, in code order: CORR-IR:{A}-IR:{B}.

substitute_storage 🔒

storage lifted over params in place of its stored ones — how a risk pass installs registered handles.

swaption_normal_vol_label

The canonical exogenous label carrying an ATM swaption’s normal volatility: SWAPTION-NVOL-{CCY}-{expiry}x{end}, both ISO dates — the expiry of the option and the end of the underlying swap. Dates rather than year counts because a strip implied by a call schedule lands on arbitrary dates, and a rounded year count would need a rule and could collide.

unresolved_collateral 🔒

The collateral key a view that resolved nothing declares.