Enum RecoveryModel 

pub enum RecoveryModel {
    Constant,
    AmraouiHitier {
        floor: f64,
    },
}

How a tranche’s pool recovers from a default under the one-factor Gaussian copula.

The model shapes only the pool’s conditional loss: every name’s expected loss stays its CDS’s, p·(1 − R̄), under either.

Variants

Constant

One recovery R̄ in every state of the factor: the pool loses (1 − R̄)·p(m), never more than 1 − R̄.

AmraouiHitier

Amraoui–Hitier stochastic recovery: recovery falls with the common factor towards floor, the conditional loss at factor m being (1 − R̃)·Φ((Φ⁻¹(p·(1 − R̄)/(1 − R̃)) − √ρ·m)/√(1 − ρ)) with R̃ = floor. It integrates to p·(1 − R̄) at every correlation, and the pool can lose up to 1 − R̃, so a senior tranche above 1 − R̄ carries loss. A floor equal to R̄ is the constant model.

Fields

floor: f64

The recovery floor R̃, in [0, R̄].

Implementations

impl RecoveryModel

pub(crate) fn lhp_marginal<R: Scalar>(&self, pd: R, recovery: R) -> (R, R)

The (pd, lgd) pair the LHP kernel reads for unconditional default probability pd and mean recovery recovery: the pair itself under Constant, the Amraoui–Hitier substitution otherwise.

Trait Implementations

impl Clone for RecoveryModel

fn clone(&self) -> RecoveryModel

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Copy for RecoveryModel

impl Debug for RecoveryModel

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

Formats the value using the given formatter.

impl Default for RecoveryModel

fn default() -> RecoveryModel

Returns the “default value” for a type.

impl From<RecoveryModel> for TrancheRecovery

fn from(model: RecoveryModel) -> Self

Converts to this type from the input type.

impl PartialEq for RecoveryModel

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