Crate convex_bonds 

Convex Bonds

Bond pricing and analytics for the Convex fixed income analytics library.

This crate provides:

• Instruments: Fixed coupon bonds, zero coupon bonds, floating rate notes
• Pricing: Present value, clean/dirty price, yield-to-maturity
• Cash Flows: Coupon schedule generation with business day adjustments
• Risk: Duration, convexity, DV01, key rate durations

Example

use convex_bonds::prelude::*;
use convex_core::types::{Date, Currency, Frequency};
use rust_decimal_macros::dec;

// Create a fixed coupon bond
let bond = FixedBondBuilder::new()
    .isin("US912828Z229")
    .coupon_rate(dec!(2.5))
    .maturity(Date::from_ymd(2030, 5, 15).unwrap())
    .frequency(Frequency::SemiAnnual)
    .currency(Currency::USD)
    .build()
    .unwrap();

// Calculate yield-to-maturity
let settlement = Date::from_ymd(2025, 1, 15).unwrap();
let price = Price::new(dec!(98.50), Currency::USD);
let ytm = bond.yield_to_maturity(price, settlement).unwrap();

Re-exports

pub use error::BondError;

pub use error::BondResult;

pub use indices::ArrearConvention;

pub use indices::IndexConventions;

pub use indices::IndexFixing;

pub use indices::IndexFixingStore;

pub use indices::IndexSource;

pub use indices::OvernightCompounding;

pub use indices::PublicationTime;

pub use indices::ShiftType;

pub use instruments::AccelerationOption;

pub use instruments::CallableBond;

pub use instruments::CallableBondBuilder;

pub use instruments::FixedBond;

pub use instruments::FixedBondBuilder;

pub use instruments::FixedRateBond;

pub use instruments::FixedRateBondBuilder;

pub use instruments::FloatingRateNote;

pub use instruments::FloatingRateNoteBuilder;

pub use instruments::SinkingFundBond;

pub use instruments::SinkingFundBondBuilder;

pub use instruments::SinkingFundPayment;

pub use instruments::SinkingFundSchedule;

Modules

cashflows

Cash flow generation for bonds.

conventions

Market conventions for bond analytics.

curve_instruments

Curve instrument wrappers for yield curve bootstrapping.

error

Error types for bond operations.

indices

Rate index infrastructure for floating rate bonds.

instruments

Bond instrument types.

options

Option pricing models for callable and puttable bonds.

prelude

Prelude module for convenient imports.

pricing

Bond pricing calculations.

risk

Risk metrics for bonds.

traits

Core bond traits and extensions.

types

Domain types for bond analytics.