Struct IndexIntrinsic 

pub struct IndexIntrinsic {
    pub value: f64,
    pub spread: f64,
}

An index CDS measured against its constituents: the replicating single-name portfolio’s value, and its duration-weighted spread.

Fields

value: f64

Σ wᵢ·Vᵢ: each constituent’s single-name contract on the index’s terms, valued on its own curve, weighted by its share of the original index notional.

spread: f64

Σ wᵢ·RPV01ᵢ·Sᵢ / Σ wᵢ·RPV01ᵢ: the constituents’ par spreads weighted by their risky annuities — the spread the index would trade at with no basis. The index’s own par spread less this is the index basis.

Trait Implementations

impl Clone for IndexIntrinsic

fn clone(&self) -> IndexIntrinsic

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Copy for IndexIntrinsic

impl Debug for IndexIntrinsic

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

Formats the value using the given formatter.

impl PartialEq for IndexIntrinsic

fn eq(&self, other: &IndexIntrinsic) -> bool

Tests for self and other values to be equal, and is used by ==.

fn ne(&self, other: &Rhs) -> bool

Tests for !=. The default implementation is almost always sufficient, and should not be overridden without very good reason.

impl StructuralPartialEq for IndexIntrinsic