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TermStructure

rustyqlib::rates::term_structure

Struct TermStructure

pub struct TermStructure {
    pub dates: Vec<Date>,
    pub discount_factors: Vec<f64>,
    pub day_count_convention: DayCountConvention,
    pub interpolation_method: InterpolationMethod,
    pub asof_date: Date,
    pub year_fractions: Vec<f64>,
    pub zero_rates: Vec<f64>,
    /* private fields */
}

Expand description

An interest rate term structure.

Stores a grid of (date, discount-factor) pairs and derives zero rates and an interpolator for off-grid queries.

Fields§

§dates: Vec<Date>§discount_factors: Vec<f64>§day_count_convention: DayCountConvention§interpolation_method: InterpolationMethod§asof_date: Date§year_fractions: Vec<f64>§zero_rates: Vec<f64>

Implementations§

impl TermStructure

pub fn new( dates: Vec<Date>, discount_factors: Vec<f64>, day_count_convention: DayCountConvention, interpolation_method: InterpolationMethod, asof_date: Date, ) -> Result<Self, String>

Create a new term structure from dates and discount factors.

pub fn flat_curve( rate: f64, asof_date: Date, day_count_convention: DayCountConvention, max_tenor_years: f64, ) -> Result<Self, String>

Build a flat (constant-rate) term structure.

pub fn from_zero_rates( dates: Vec<Date>, zero_rates: Vec<f64>, day_count_convention: DayCountConvention, asof_date: Date, ) -> Result<Self, String>

Build a term structure from continuously-compounded zero rates.

pub fn discount_factor(&self, maturity_date: Date) -> f64

Discount factor for a given maturity date.

pub fn discount_factor_at_time(&self, t: f64) -> f64

Discount factor at time t (in years).

pub fn zero_rate(&self, maturity_date: Date) -> f64

Zero-coupon rate (continuously compounded) for a given maturity date.

pub fn zero_rate_at_time(&self, t: f64) -> f64

Zero-coupon rate at time t (in years).

pub fn forward_rate( &self, start_date: Date, end_date: Date, ) -> Result<f64, String>

Continuously-compounded forward rate between two dates.

pub fn forward_rate_at_time(&self, t1: f64, t2: f64) -> Result<f64, String>

Continuously-compounded forward rate between two times.

pub fn summary(&self) -> String

Trait Implementations§

impl Clone for TermStructure

fn clone(&self) -> TermStructure

Returns a duplicate of the value. Read more

1.0.0 (const: unstable) · Source§

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

Performs copy-assignment from source. Read more

impl Debug for TermStructure

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

Formats the value using the given formatter. Read more

impl Display for TermStructure

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

Formats the value using the given formatter. Read more

Auto Trait Implementations§

impl Freeze for TermStructure

impl RefUnwindSafe for TermStructure

impl Send for TermStructure

impl Sync for TermStructure

impl Unpin for TermStructure

impl UnsafeUnpin for TermStructure

impl UnwindSafe for TermStructure

Blanket Implementations§

impl<T> Any for T
where T: 'static + ?Sized,

fn type_id(&self) -> TypeId

Gets the TypeId of self. Read more

impl<T> Borrow<T> for T
where T: ?Sized,

fn borrow(&self) -> &T

Immutably borrows from an owned value. Read more

impl<T> BorrowMut<T> for T
where T: ?Sized,

fn borrow_mut(&mut self) -> &mut T

Mutably borrows from an owned value. Read more

impl<T> CloneToUninit for T
where T: Clone,

unsafe fn clone_to_uninit(&self, dest: *mut u8)

🔬This is a nightly-only experimental API. (clone_to_uninit)

Performs copy-assignment from self to dest. Read more

impl<T> From<T> for T

fn from(t: T) -> T

Returns the argument unchanged.

impl<T, U> Into<U> for T
where U: From<T>,

fn into(self) -> U

Calls U::from(self).

That is, this conversion is whatever the implementation of From<T> for U chooses to do.

impl<T> Pointable for T

const ALIGN: usize

The alignment of pointer.

type Init = T

The type for initializers.

unsafe fn init(init: <T as Pointable>::Init) -> usize

Initializes a with the given initializer. Read more

unsafe fn deref<'a>(ptr: usize) -> &'a T

Dereferences the given pointer. Read more

unsafe fn deref_mut<'a>(ptr: usize) -> &'a mut T

Mutably dereferences the given pointer. Read more

unsafe fn drop(ptr: usize)

Drops the object pointed to by the given pointer. Read more

impl<T> ToOwned for T
where T: Clone,

type Owned = T

The resulting type after obtaining ownership.

fn to_owned(&self) -> T

Creates owned data from borrowed data, usually by cloning. Read more

fn clone_into(&self, target: &mut T)

Uses borrowed data to replace owned data, usually by cloning. Read more

impl<T> ToString for T
where T: Display + ?Sized,

fn to_string(&self) -> String

Converts the given value to a String. Read more

impl<T, U> TryFrom<U> for T
where U: Into<T>,

type Error = Infallible

The type returned in the event of a conversion error.

fn try_from(value: U) -> Result<T, <T as TryFrom<U>>::Error>

Performs the conversion.

impl<T, U> TryInto<U> for T
where U: TryFrom<T>,

type Error = <U as TryFrom<T>>::Error

The type returned in the event of a conversion error.

fn try_into(self) -> Result<U, <U as TryFrom<T>>::Error>

Performs the conversion.

impl<V, T> VZip<V> for T
where V: MultiLane<T>,

fn vzip(self) -> V