Module base_correlation 

Base correlation: asset correlation as a function of the tranche attachment point — the market-standard parameterisation for index tranches, quoted per index and stored beside its survival curve.

Lifted like every other market input: each quoted correlation is a parameter of the risk vector, so a tranche’s correlation risk is read off the same adjoint pass as its CS01, bucketed by detachment.

Structs

BaseCorrelation

Asset correlation by attachment point: linear between quoted points, flat beyond either end.

BaseCorrelationView

A base-correlation curve read in mode R: its attachment points, and its correlations as lifted parameters.

Enums

BaseCorrelationError

A base-correlation curve that cannot be built as specified.

Functions

read 🔒

Linear in attachment between points, flat beyond either end.