Function recovery_sensitivities
pub fn recovery_sensitivities(
book: &Book,
market: &MarketContext,
bump: f64,
) -> Result<Vec<(String, f64)>, CreditBumpError>Expand description
The book’s sensitivity to each entity’s market recovery: the
central-difference value change (V(R + h) − V(R − h))/2 for h = bump,
the survival curve held fixed — read straight off the protection
leg, −N·P(t_v)∫P dQ per unit of
recovery. One row per entity the market holds a recovery for, in store
order; a product carrying a contractual recovery does not move.
§Errors
CreditBumpError::Recovery naming the entity when a bump leaves
[0, 1); CreditBumpError::Pricing from a revaluation.