Struct CreditWalk 

struct CreditWalk<'c> {
    boundaries: &'c [NaiveDate],
    effective: NaiveDate,
    day_count: DayCountFraction,
}

The premium schedule and protection start of a standard credit contract, walked as the contract runs: periods ending on or before the protection start are skipped (the first accrual still starts at the prior IMM date), protection is discounted at each period’s midpoint and premium at its payment date, both clamped to the valuation.

Fields

boundaries: &'c [NaiveDate]

effective: NaiveDate

day_count: DayCountFraction

Implementations

impl<'c> CreditWalk<'c>

fn of(cds: &'c CreditDefaultSwap) -> Self

fn legs<R: Scalar>( &self, view: &PricingView<'_, R>, state: impl Fn(NaiveDate) -> Result<R, PricingError>, outstanding: impl Fn(R, R) -> R, increment: impl Fn(R, R) -> R, ) -> Result<(R, R), PricingError>

(premium annuity, protection) for a trigger function state(date) — the expected tranche loss or the basket’s trigger survival — with the premium accruing on outstanding(state_prev, state_i) and the protection on increment(state_prev, state_i).