Struct IndexSkew 

pub struct IndexSkew {
    pub segments: Vec<(NaiveDate, f64)>,
    pub currency: Currency,
}

The skew adjustment of an index’s constituents: one piecewise-constant term structure of hazard multipliers, (pillar, factor) in pillar order, that every constituent’s curve is scaled by (ScaledSurvival).

Fields

segments: Vec<(NaiveDate, f64)>

(pillar, factor): the factor applies from the previous pillar (or the curve’s reference date) to this one, the last one past it.

currency: Currency

The index’s currency — the currency each constituent’s curve is keyed in when the skew is applied to it.

Implementations

impl IndexSkew

pub fn adjust(&self, curve: &Survival) -> Result<Survival, CurveError>

curve scaled by this skew.

Errors

CurveError::Malformed if a pillar is not after the curve’s reference date.

pub fn adjusted_market( &self, market: &MarketContext, constituents: &[(ReferenceEntity, f64)], ) -> Result<MarketContext, PricingError>

market with every constituent re-pinned under its adjusted curve, its recovery kept. A re-pinned curve carries no calibration ladder: its node risk reads the base’s parameters, its par-quote risk is gone.

Errors

The market’s missing-curve refusal for a constituent it holds no curve for; a curve error from adjust.

Trait Implementations

impl Clone for IndexSkew

fn clone(&self) -> IndexSkew

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for IndexSkew

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

Formats the value using the given formatter.

impl PartialEq for IndexSkew

fn eq(&self, other: &IndexSkew) -> 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 IndexSkew