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shocked_credit_quotes

Function shocked_credit_quotes 

fn shocked_credit_quotes(
    market: MarketContext,
    leg: &ScenarioLeg,
    credit: &CreditCurveId,
) -> Result<MarketContext, ScenarioError>
Expand description

market with entity’s survival curve solved again from its CDS quotes moved by leg: each rung’s quote moved by the leg’s shape at its pillar — τ Act/365F from the curve’s reference for a slope — absolutely unless the leg asks for a relative move, the ladder solved in its own family against its own discount at the entity’s market recovery, and the result re-pinned with its new ladder and refit. A market that does not hold the entity is carried through.

§Errors

ScenarioError::NoQuotes when the entity’s curve carries no ladder; ScenarioError::Refit when the moved ladder does not solve.