Struct SimulationSettings 

pub struct SimulationSettings {
    pub paths: usize,
    pub seed: u64,
    pub antithetic: bool,
    pub pfe_quantile: f64,
    pub repeat_crises: bool,
    pub recovery_volatility: f64,
}

How a simulation runs.

Fields

paths: usize

The number of paths; even under antithetics.

seed: u64

The seed every path’s stream derives from.

antithetic: bool

Whether paths come in antithetic pairs.

pfe_quantile: f64

The quantile the profile’s PFE reads, in (0, 1).

repeat_crises: bool

Simulate every crisis rather than the first, the rest in expectation.

recovery_volatility: f64

The standard deviation of the recovery a default pays: beta-distributed about the issuer’s market recovery and integrated at each default. Zero is the market recovery fixed. A model setting, with no risk row.

Implementations

impl SimulationSettings

pub fn check(&self) -> Result<(), PricingError>

Refuses fewer than two paths, an odd path count under antithetics, and a PFE quantile outside (0, 1).

Errors

PricingError::MalformedDeclaration naming the refused setting.

Trait Implementations

impl Clone for SimulationSettings

fn clone(&self) -> SimulationSettings

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Copy for SimulationSettings

impl Debug for SimulationSettings

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

Formats the value using the given formatter.

impl Default for SimulationSettings

fn default() -> Self

Returns the “default value” for a type.

impl PartialEq for SimulationSettings

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