Module credit_vol 

Credit vol: the Black volatility of a forward CDS spread by option expiry, quoted per credit name — a single name’s entity or an index’s code — and stored beside its survival curve.

Lifted like every other market input: each quoted vol is a parameter of the risk vector, so a CDS option’s vega is read off the same adjoint pass as its CS01, bucketed by expiry.

Structs

CreditVolSurface

Black vols of the forward spread by expiry: linear in total variance between quoted expiries, flat in vol beyond either end — the expiry rule a rate vol surface reads by.

CreditVolView

A credit vol surface lifted into mode R.

Enums

CreditVolError

A credit vol surface that cannot be built as specified.