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recovery_sensitivities

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.