Struct CrisisParameters 

pub struct CrisisParameters<R: Scalar> {
    pub rate: R,
    pub jump_mean: R,
    pub default_probability: R,
}

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.

Fields

rate: R

The crisis rate κ, non-negative.

jump_mean: R

The mean spread jump m, non-negative.

default_probability: R

The probability p a crisis defaults at once, in [0, 1].

Implementations

impl<R: Scalar> CrisisParameters<R>

pub fn passive(&self) -> CrisisParameters<f64>

The derivative-free projection of the parameters.

Trait Implementations

impl<R: Clone + Scalar> Clone for CrisisParameters<R>

fn clone(&self) -> CrisisParameters<R>

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl<R: Copy + Scalar> Copy for CrisisParameters<R>

impl<R: Debug + Scalar> Debug for CrisisParameters<R>

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

Formats the value using the given formatter.