Struct LinearDecay 

pub struct LinearDecay;

Linear decay γ_j(t) = (T_j − t)/τ_j inside [T_{j−1}, T_j], clamped to 1 before and 0 after. Matches the choice used in Lyashenko & Mercurio (2020)’s mortgage example. The corresponding HJM-separable shape function is g_j(t) = −γ_j'(t) = 1/τ_j on the interval.

Implementations

impl LinearDecay

pub fn gamma(&self, j: usize, t: f64, tenor: &FmmTenor) -> f64

γ_j(t) for j ∈ 1..=M.

pub fn big_g(&self, j: usize, s: f64, big_t: f64, tenor: &FmmTenor) -> f64

G_j(s, T) = γ_j(s) − γ_j(T). Appears in the back-stub formula and (via G_j(T_{j−1}, T_j) = 1) pins the separable decomposition.

Trait Implementations

impl Clone for LinearDecay

fn clone(&self) -> Self

Returns a duplicate of the value.

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source.

impl Copy for LinearDecay

impl Debug for LinearDecay

fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter.

impl Default for LinearDecay

fn default() -> Self

Returns the “default value” for a type.

impl PartialEq for LinearDecay

fn eq(&self, other: &Self) -> bool

Equality operator ==.

fn ne(&self, other: &Rhs) -> bool

Inequality operator !=.

impl StructuralPartialEq for LinearDecay