Struct CdsResults 

pub struct CdsResults {
    pub instrument: InstrumentResults,
    pub fair_spread: Option<Rate>,
    pub fair_upfront: Option<Rate>,
    pub coupon_leg_bps: Option<Real>,
    pub coupon_leg_npv: Option<Real>,
    pub default_leg_npv: Option<Real>,
    pub upfront_bps: Option<Real>,
    pub upfront_npv: Option<Real>,
    pub accrual_rebate_npv: Option<Real>,
}

Results returned by a credit-default-swap pricing engine (the C++ CreditDefaultSwap::results, creditdefaultswap.hpp:331-342).

A result the engine did not provide is None, the C++ Null<Real> / Null<Rate> sentinel reset restores; the matching accessor on the instrument then reports it as not available.

Fields

instrument: InstrumentResults

The instrument-level results (NPV and the rest).

fair_spread: Option<Rate>

The spread that prices the contract at zero.

fair_upfront: Option<Rate>

The upfront that prices the contract at zero.

coupon_leg_bps: Option<Real>

The premium leg’s sensitivity to a one-basis-point spread move.

coupon_leg_npv: Option<Real>

The premium leg’s NPV.

default_leg_npv: Option<Real>

The protection leg’s NPV.

upfront_bps: Option<Real>

The upfront payment’s sensitivity to a one-basis-point upfront move.

upfront_npv: Option<Real>

The upfront payment’s NPV.

accrual_rebate_npv: Option<Real>

The accrual rebate’s NPV.

Trait Implementations

impl Default for CdsResults

fn default() -> CdsResults

Returns the “default value” for a type.

impl Results for CdsResults

fn reset(&mut self)

Clears the results ahead of a calculation.

fn as_instrument_results(&self) -> Option<&InstrumentResults>

The instrument-level slice of the bundle, when the bundle carries one.