Struct FloatingRateNote 

pub struct FloatingRateNote { /* private fields */ }

A floating rate note (FRN).

FRNs pay coupons that reset periodically based on a reference rate (such as SOFR, EURIBOR, or SONIA) plus a fixed spread.

Features

• Support for all major reference rates (SOFR, €STR, SONIA, EURIBOR, etc.)
• SOFR compounding conventions (in arrears, simple average, Term SOFR)
• Caps and floors (rate collars)
• Lookback and lockout periods
• Full Bond trait implementation

Implementations

impl FloatingRateNote

pub fn builder() -> FloatingRateNoteBuilder

Creates a new builder for FloatingRateNote.

pub fn index(&self) -> &RateIndex

Returns the reference rate index.

pub fn sofr_convention(&self) -> Option<&SOFRConvention>

Returns the SOFR convention if applicable.

pub fn spread_bps(&self) -> Decimal

Returns the spread in basis points.

pub fn spread_decimal(&self) -> Decimal

Returns the spread as a decimal rate.

pub fn maturity_date(&self) -> Date

Returns the maturity date.

pub fn get_issue_date(&self) -> Date

Returns the issue date.

pub fn frequency(&self) -> Frequency

Returns the payment frequency.

pub fn day_count(&self) -> DayCountConvention

Returns the day count convention.

pub fn cap(&self) -> Option<Decimal>

Returns the cap rate if any.

pub fn floor(&self) -> Option<Decimal>

Returns the floor rate if any.

pub fn settlement_days(&self) -> u32

Returns the settlement days.

pub fn reset_lag(&self) -> i32

Returns the reset lag in business days.

pub fn set_current_rate(&mut self, rate: Decimal)

Sets the current reference rate.

pub fn current_rate(&self) -> Option<Decimal>

Returns the current reference rate if set.

pub fn effective_rate(&self, index_rate: Decimal) -> Decimal

Calculates the effective coupon rate after applying cap/floor.

pub fn period_coupon( &self, period_start: Date, period_end: Date, index_rate: Decimal, ) -> Decimal

Calculates the coupon amount for a period given the index rate.

pub fn accrued_interest_with_rate( &self, settlement: Date, index_rate: Decimal, ) -> Decimal

Calculates accrued interest with a given reference rate.

pub fn sofr_compounded_in_arrears( &self, daily_rates: &[(Date, Decimal)], period_start: Date, period_end: Date, ) -> Decimal

Calculates SOFR compounded in arrears for a period.

This implements the ARRC standard methodology for calculating compounded SOFR over an interest period.

Arguments

• daily_rates - Vector of (date, rate) tuples for daily SOFR fixings
• period_start - Start of the interest period
• period_end - End of the interest period

Returns

The compounded rate for the period (annualized).

pub fn sofr_simple_average( &self, daily_rates: &[(Date, Decimal)], period_start: Date, period_end: Date, ) -> Decimal

Calculates simple average SOFR for a period.

pub fn identifier(&self) -> String

Returns an identifier string for display.

pub fn cash_flows_projected<C>( &self, from: Date, forward_curve: &C, ) -> Vec<BondCashFlow>

where C: RateCurveDyn + ?Sized,

Generates cash flows with projected rates from a forward curve.

This method projects coupon amounts using forward rates from the provided curve, applying the spread and any caps/floors.

Arguments

• from - Settlement date
• forward_curve - Curve for projecting forward rates

Returns

Vector of cash flows with projected coupon amounts.

Example

let flows = frn.cash_flows_projected(settlement, &forward_curve);
for flow in flows {
    println!("Date: {}, Amount: {}", flow.date(), flow.amount());
}

pub fn required_fixing_dates(&self, from: Date) -> Vec<Date>

Returns all fixing dates required for coupon calculations.

For overnight compounded rates (SOFR, SONIA), this returns all business days in each coupon period. For term rates (EURIBOR, Term SOFR), this returns only the fixing dates based on reset lag.

Arguments

• from - Settlement date (only returns dates for future periods)

Returns

Vector of dates when index fixings are needed.

pub fn accrued_interest_from_store( &self, settlement: Date, store: &IndexFixingStore, ) -> Decimal

Calculates accrued interest using rates from a fixing store.

For overnight compounded rates, this compounds the daily rates from period start to settlement. For term rates, uses the fixed rate for the period.

Arguments

• settlement - Settlement date
• store - Index fixing store with historical rates

Returns

Accrued interest amount, or zero if fixings are unavailable.

Trait Implementations

impl Bond for FloatingRateNote

fn identifiers(&self) -> &BondIdentifiers

Returns the bond’s identifiers (ISIN, CUSIP, etc.).

fn bond_type(&self) -> BondType

Returns the bond type classification.

fn currency(&self) -> Currency

Returns the bond’s currency.

fn maturity(&self) -> Option<Date>

Returns the maturity date.

fn issue_date(&self) -> Date

Returns the issue date.

fn first_settlement_date(&self) -> Date

Returns the first settlement date.

fn dated_date(&self) -> Date

Returns the dated date (when interest starts accruing).

fn face_value(&self) -> Decimal

Returns the face/par value per unit.

fn frequency(&self) -> Frequency

Returns the coupon payment frequency.

fn cash_flows(&self, from: Date) -> Vec<BondCashFlow>

Generates all cash flows from the given date forward.

fn next_coupon_date(&self, after: Date) -> Option<Date>

Returns the next coupon date after the given date.

fn previous_coupon_date(&self, before: Date) -> Option<Date>

Returns the previous coupon date before the given date.

fn accrued_interest(&self, settlement: Date) -> Decimal

Calculates accrued interest as of the settlement date.

fn day_count_convention(&self) -> &str

Returns the day count convention for accrual calculations.

fn calendar(&self) -> &CalendarId

Returns the payment calendar.

fn redemption_value(&self) -> Decimal

Returns the redemption value per unit at maturity (typically 100).

fn has_matured(&self, as_of: Date) -> bool

Returns true if the bond has matured as of the given date.

fn years_to_maturity(&self, from: Date) -> Option<f64>

Returns the years to maturity from the given date.

fn requires_model(&self) -> bool

Returns true if this bond type requires a pricing model.

impl Clone for FloatingRateNote

fn clone(&self) -> FloatingRateNote

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for FloatingRateNote

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

Formats the value using the given formatter.

impl<'de> Deserialize<'de> for FloatingRateNote

fn deserialize<D>(deserializer: D) -> Result<Self, D::Error>

where D: Deserializer<'de>,

Deserialize this value from the given Serde deserializer.

impl FloatingCouponBond for FloatingRateNote

fn rate_index(&self) -> &RateIndex

Returns the reference rate index.

fn spread_bps(&self) -> Decimal

Returns the spread over the reference rate in basis points.

fn reset_frequency(&self) -> u32

Returns the reset frequency (payments per year).

fn lookback_days(&self) -> u32

Returns the number of lookback days for the rate fixing.

fn floor(&self) -> Option<Decimal>

Returns the floor rate if any (as decimal).

fn cap(&self) -> Option<Decimal>

Returns the cap rate if any (as decimal).

fn next_reset_date(&self, after: Date) -> Option<Date>

Returns the next reset date after the given date.

fn fixing_date(&self, reset_date: Date) -> Date

Returns the fixing date for a given reset date.

fn spread(&self) -> Decimal

Returns the spread as a decimal (e.g., 0.0050 for 50 bps).

fn current_coupon(&self, reference_rate: Decimal) -> Decimal

Calculates the coupon for the current period given the reference rate.

impl Serialize for FloatingRateNote

fn serialize<S>(&self, serializer: S) -> Result<S::Ok, S::Error>

where S: Serializer,

Serialize this value into the given Serde serializer.