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CdsLegs

helixrs::market::pricers

Struct CdsLegs

pub(crate) struct CdsLegs<R> {
    pub(crate) annuity: R,
    pub(crate) premium: R,
    pub(crate) accrual: R,
    pub(crate) rebate: R,
    pub(crate) settlement_df: R,
    pub(crate) protection: R,
}

Expand description

A CDS’s leg values from one pass: the premium leg’s annuity and value, the protection leg’s value, and the settlement flows.

Fields§

§annuity: R

The risky annuity at unit coupon: the premium accruals discounted and survival-weighted, plus accrual on default at unit coupon, less the accrued rebated at settlement.

§premium: R§accrual: R§rebate: R

The accrued the first coupon charges for but protection did not cover, returned to the buyer at cash settlement and discounted from it.

§settlement_df: R

The discount factor to the cash-settlement date the upfront and rebate pay on: one when the contract names none, zero once it has passed.

§protection: R

Auto Trait Implementations§

impl<R> Freeze for CdsLegs<R>
where R: Freeze,

impl<R> RefUnwindSafe for CdsLegs<R>
where R: RefUnwindSafe,

impl<R> Send for CdsLegs<R>
where R: Send,

impl<R> Sync for CdsLegs<R>
where R: Sync,

impl<R> Unpin for CdsLegs<R>
where R: Unpin,

impl<R> UnsafeUnpin for CdsLegs<R>
where R: UnsafeUnpin,

impl<R> UnwindSafe for CdsLegs<R>
where R: UnwindSafe,

Blanket Implementations§

impl<T> Any for T
where T: 'static + ?Sized,

fn type_id(&self) -> TypeId

Gets the TypeId of self. Read more

impl<T> Borrow<T> for T
where T: ?Sized,

fn borrow(&self) -> &T

Immutably borrows from an owned value. Read more

impl<T> BorrowMut<T> for T
where T: ?Sized,

fn borrow_mut(&mut self) -> &mut T

Mutably borrows from an owned value. Read more

impl<T> From<T> for T

fn from(t: T) -> T

Returns the argument unchanged.

impl<T, U> Into<U> for T
where U: From<T>,

fn into(self) -> U

Calls U::from(self).

That is, this conversion is whatever the implementation of From<T> for U chooses to do.

impl<T, U> TryFrom<U> for T
where U: Into<T>,

type Error = Infallible

The type returned in the event of a conversion error.

fn try_from(value: U) -> Result<T, <T as TryFrom<U>>::Error>

Performs the conversion.

impl<T, U> TryInto<U> for T
where U: TryFrom<T>,

type Error = <U as TryFrom<T>>::Error

The type returned in the event of a conversion error.

fn try_into(self) -> Result<U, <U as TryFrom<T>>::Error>

Performs the conversion.