Struct GaussianIntensity 

pub struct GaussianIntensity<R: Scalar> {
    pub mean_reversion: R,
    pub vol: R,
    pub correlation: R,
}

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.

Fields

mean_reversion: R

The intensity’s mean-reversion speed b, positive.

vol: R

The intensity’s volatility η, non-negative.

correlation: R

The correlation ρ with the Hull-White factor, in [−1, 1].

Implementations

impl<R: Scalar> GaussianIntensity<R>

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

The derivative-free projection of the parameters.

Trait Implementations

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

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

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

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

Formats the value using the given formatter.