Function correlation_sensitivities 

pub fn correlation_sensitivities(
    book: &Book,
    market: &MarketContext,
    bump: f64,
) -> Result<Vec<(String, f64)>, CreditBumpError>

The book’s sensitivity to each credit index’s base correlation: the central-difference value change (V(ρ + h) − V(ρ − h))/2 for a parallel shift h = bump of every point on that index’s skew, everything else held. One row per base-correlation curve the market holds, in store order.

The AD risk vector carries each point on the Correlation axis; this is the full revaluation under a finite parallel shift, which a skew move of a size that bends the tranche value reads and a first-order ladder does not.

Errors

CreditBumpError::Correlation naming the index when a bump leaves [0, 1); CreditBumpError::Pricing from a revaluation.