Struct StepCredit 

pub struct StepCredit<R> {
    pub survival: Vec<R>,
    pub recovery: Vec<R>,
}

An issuer’s credit on a lattice’s steps: for step i (slice i to i + 1), the survival over it S(tᵢ₊₁)/S(tᵢ) and the recovery a default in it pays at its end, R·F(tᵢ)·(1 − S(tᵢ₊₁)/S(tᵢ)) on the face alive at its start. Branch probabilities sum to one, so the recovery needs none.

Fields

survival: Vec<R>

Survival over each step, conditional on its start.

recovery: Vec<R>

The recovery cash each step’s default pays at its end.

Implementations

impl<R: Scalar> StepCredit<R>

pub fn on_grid<S: SurvivalProbability<R>>( grid: &TimeGrid, survival: &S, recovery: R, face_at: impl Fn(NaiveDate) -> f64, ) -> Result<Self, CurveError>

The credit on grid’s steps from the issuer’s survival curve, the market recovery and the face alive on each date.

Errors

Whatever the survival curve reports.

Trait Implementations

impl<R: Clone> Clone for StepCredit<R>

fn clone(&self) -> StepCredit<R>

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl<R: Debug> Debug for StepCredit<R>

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

Formats the value using the given formatter.