Function shocked_spread_correlation 

fn shocked_spread_correlation(
    market: MarketContext,
    leg: &ScenarioLeg,
    first: &str,
    second: &str,
) -> Result<MarketContext, ScenarioError>

market with its CMS spread correlation for the pair moved by leg — absolutely unless the leg asks for a relative move — and re-pinned as the parameters it is, so the layout is kept. A term structure moves pillar by pillar, the leg’s shape read at each pillar’s expiry (the vol rule); a flat mark has no expiry to read a shape at, so it takes a parallel move only. A market without a mark for the pair is carried through, as a vol leg on a surface it does not hold.

Errors

ScenarioError::UnsupportedShape for a slope or a bucket on a flat mark, and the store’s refusal of a result outside [-1, 1].