Function index_intrinsic 

pub fn index_intrinsic(
    index: &IndexCreditDefaultSwap,
    constituents: &[(ReferenceEntity, f64)],
    market: &MarketContext,
) -> Result<IndexIntrinsic, PricingError>

The intrinsic value and spread of index from its constituents.

constituents are (entity, weight) pairs, the weight each name’s share of the original index notional (1/125 for CDX IG); a defaulted name is simply left out, so the surviving weights sum to the index factor. Each name’s contract is the index’s own — coupon, schedule, maturity, accrual on default, upfront — re-referenced to the entity and valued on its survival curve and market recovery. On a pool whose names all carry the index curve the intrinsic value is the index’s value and the intrinsic spread its par spread.

Errors

PricingError::Curve for an empty list or a weight that is not finite and positive; the resolution’s error — naming the entity — for a name the market holds no curve for; a pricer’s error otherwise.