Credit default swaps

Module: Shoals.Cds.

HazardCurve[n] stores n elapsed year times and their piecewise hazard rates as f32 tensors. The times are measured from the valuation origin; they are not calendar dates. Use Shoals.Date.year_fraction with a chosen day-count convention when deriving them from dates.

hazard_curve_from_pillars(times, hazards) requires strictly increasing times. It fails at the first duplicate or out-of-order pair, naming its index and both values. It does not reorder caller-supplied pillars; a caller that needs sorting must keep each time paired with its hazard. cds_bootstrap_hazards applies the same check to its supplied tenors before solving any pillar.

HazardCurve is opaque. Construct it through one of those two functions and use hazard_curve_pillars(curve) to read its (times, hazards) tensors. Consumers cannot create a record literal that bypasses the ordering check.

cds_survival_from_hazards(curve, t) integrates the piecewise hazards to t and returns exp(-integral). cds_premium_leg_value, cds_protection_leg_value, and cds_pv use the same curve. The premium grid uses the supplied payment frequency; the protection leg uses monthly steps. These functions use elapsed year times, a constant discount rate, and the caller-supplied recovery. They do not generate a calendar payment schedule.