Struct BaseCorrelation 

pub struct BaseCorrelation {
    attachments: Vec<f64>,
    correlations: Vec<f64>,
}

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

Fields

attachments: Vec<f64>

correlations: Vec<f64>

Implementations

impl BaseCorrelation

pub fn new(points: &[(f64, f64)]) -> Result<Self, BaseCorrelationError>

A curve from (attachment, correlation) points.

Errors

BaseCorrelationError for no points, attachments not strictly increasing in (0, 1], or a correlation outside [0, 1).

pub fn flat(rho: f64) -> Result<Self, BaseCorrelationError>

A flat curve at rho.

Errors

BaseCorrelationError::Correlation outside [0, 1).

pub fn points(&self) -> Vec<(f64, f64)>

The quoted (attachment, correlation) points, in order.

pub fn shifted(&self, shift: f64) -> Result<Self, BaseCorrelationError>

This curve with every correlation moved by shift — a parallel shift of the skew, the bump a correlation sensitivity is taken under.

Errors

BaseCorrelationError::Correlation naming the first point the shift takes outside [0, 1); nothing is clamped.

pub fn attachments(&self) -> &[f64]

The quoted attachment points, in order: where each parameter sits.

pub fn parameters(&self) -> &[f64]

The stored correlations, in point order: the curve’s parameters.

pub fn correlation(&self, attachment: f64) -> f64

The correlation at attachment.

pub fn view<R: Scalar>(&self) -> BaseCorrelationView<'_, R>

This curve at its stored correlations, lifted into mode R as constants.

pub fn view_with<'a, R: Scalar>( &'a self, params: &'a [R], ) -> Result<BaseCorrelationView<'a, R>, BaseCorrelationError>

This curve read at params in place of its stored correlations — the span the market lifted for it.

Errors

BaseCorrelationError::ParameterCount when params is not one per point.

Trait Implementations

impl Clone for BaseCorrelation

fn clone(&self) -> BaseCorrelation

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for BaseCorrelation

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

Formats the value using the given formatter.

impl PartialEq for BaseCorrelation

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