Struct ResolvedCredit 

pub struct ResolvedCredit<'a, R: Scalar> {
    inner: Lifted<'a, Survival, SurvivalView<'a, R>>,
    recovery: Option<R>,
}

The credit data resolved for one pricing call.

Fields

inner: Lifted<'a, Survival, SurvivalView<'a, R>>

recovery: Option<R>

Implementations

impl<'a, R: Scalar> ResolvedCredit<'a, R>

pub fn lift(storage: &'a Survival, recovery: Option<f64>) -> Self

storage lifted into mode R, with an optional market recovery lifted as a constant.

pub fn substituted( storage: &'a Survival, params: &'a [R], recovery: Option<R>, ) -> Result<Self, PricingError>

storage lifted over params in place of its stored ones — how a risk pass installs registered handles on the credit side — with the market recovery in the mode, so a sensitivity can be taken to it.

Errors

PricingError::Curve if params is the wrong length for storage.

pub fn storage(&self) -> &'a Survival

The stored curve this resolved against.

pub fn curve(&self) -> &SurvivalView<'a, R>

The entity’s survival curve in this mode.

pub fn recovery(&self) -> Option<R>

The entity’s market recovery in the mode, when one was resolved.

pub fn passive(&self) -> ResolvedCredit<'a, f64>

The same credit data, carrying no derivatives.

Trait Implementations

impl<'a, R: Clone + Scalar> Clone for ResolvedCredit<'a, R>

fn clone(&self) -> ResolvedCredit<'a, R>

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl<'a, R: Debug + Scalar> Debug for ResolvedCredit<'a, R>

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

Formats the value using the given formatter.

impl<R: Scalar> SurvivalProbability<R> for ResolvedCredit<'_, R>

fn reference_date(&self) -> NaiveDate

The date at which the survival probability is 1.

fn survival_probability(&self, date: NaiveDate) -> Result<R, CurveError>

The survival probability S(t) = P(τ > t).

fn log_survival(&self, date: NaiveDate) -> Result<R, CurveError>

The log survival ln S(t) = −∫h — the composition seam on the credit side. A shocked curve adds to it and exponentiates once; the families answer it from what they store rather than ln an exp.

fn survival_probability_at_ordinal(&self, ordinal: i32) -> Result<R, CurveError>

The survival probability at the proleptic-Gregorian day number ordinal — the credit side of YieldCurve::discount_at_ordinal. A family whose day count is actual days over a constant answers it by integer subtraction; the default converts back to a date.

fn log_survival_at_ordinal(&self, ordinal: i32) -> Result<R, CurveError>

The log survival at ordinal; see survival_probability_at_ordinal.

fn hazard_rate(&self, date: NaiveDate) -> Result<R, CurveError>

The instantaneous hazard rate h(t) = −d/dt ln S(t).

fn default_probability(&self, date: NaiveDate) -> Result<R, CurveError>

The default probability P(t) = 1 − S(t).

fn default_density(&self, date: NaiveDate) -> Result<R, CurveError>

The default density f(t) = h(t)·S(t).