finquant 0.0.56

Experimental Rust Quant Library
Documentation 
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use crate::error::Result;
use crate::markets::forex::quotes::forwardpoints::FXForwardHelper;
use crate::markets::termstructures::yieldcurve::YieldTermStructure;
use crate::time::calendars::{
    Calendar, Canada, Japan, JointCalendar, Target, UnitedKingdom, UnitedStates,
};
use crate::time::daycounters::DayCounters;
use crate::time::daycounters::actual360::Actual360;
use crate::time::daycounters::actual365fixed::Actual365Fixed;
use chrono::NaiveTime;
use iso_currency::Currency;
use serde::{Deserialize, Serialize};
use std::string::ToString;
use strum_macros::{Display, EnumString};

#[derive(Deserialize, Serialize, Display, EnumString, Debug)]
pub enum FXUnderlying {
    EURGBP,
    EURUSD,
    EURCAD,
    EURJPY,
    GBPUSD,
    GBPCAD,
    GBPJPY,
    USDCAD,
    USDJPY,
    CADJPY,
}

impl FXUnderlying {
    fn currency_to_country(&self, currency: Currency) -> Box<dyn Calendar> {
        match currency {
            Currency::EUR => Box::new(Target),
            Currency::GBP => Box::new(UnitedKingdom::default()),
            Currency::USD => Box::new(UnitedStates::default()),
            Currency::JPY => Box::new(Japan),
            Currency::CAD => Box::new(Canada::default()),
            _ => Box::new(Target),
        }
    }

    pub fn forward_points_converter(&self) -> f64 {
        match self {
            FXUnderlying::CADJPY => 100f64,
            FXUnderlying::USDJPY => 100f64,
            FXUnderlying::GBPJPY => 100f64,
            _ => 10000f64,
        }
    }

    pub fn day_count(&self) -> Box<dyn DayCounters> {
        match self {
            FXUnderlying::EURUSD | FXUnderlying::USDJPY => Box::new(Actual360),
            _ => Box::new(Actual365Fixed::default()),
        }
    }

    pub fn settles(&self) -> i8 {
        match self {
            FXUnderlying::USDCAD => 1,
            _ => 2,
        }
    }

    pub fn hours(&self) -> NaiveTime {
        NaiveTime::from_hms_micro_opt(22, 0, 0, 0).unwrap()
    }

    pub fn dom_currency(&self) -> Currency {
        Currency::from_code(&self.to_string()[3..]).unwrap()
    }

    pub fn frn_currency(&self) -> Currency {
        Currency::from_code(&self.to_string()[..3]).unwrap()
    }

    pub fn calendar(&self) -> impl Calendar {
        let dom_calendar = self.currency_to_country(self.dom_currency());
        let frn_calendar = self.currency_to_country(self.frn_currency());
        JointCalendar::new(vec![dom_calendar, frn_calendar])
    }
}

#[derive(Deserialize, Serialize, PartialEq, Debug)]
pub struct CurrencyValue {
    pub currency: Currency,
    pub value: f64,
}

pub trait FXDerivatives {
    fn mtm(
        &self,
        fx_forward_helper: FXForwardHelper,
        yield_term_structure: &YieldTermStructure,
    ) -> Result<CurrencyValue>;
    fn delta(&self) -> Result<CurrencyValue>;
    fn gamma(&self) -> f64;
    fn vega(&self) -> f64;
}

#[cfg(test)]
mod tests {
    use super::FXUnderlying;
    use crate::error::Result;
    use crate::time::daycounters::DayCounters;
    use crate::time::daycounters::actual360::Actual360;
    use chrono::{NaiveDate, NaiveTime};
    use iso_currency::Currency;

    #[test]
    fn test_dom_frn_currency() {
        let underlying = FXUnderlying::EURUSD;
        assert_eq!(
            underlying.dom_currency(),
            Currency::from_code("USD").unwrap()
        );
        assert_eq!(
            underlying.frn_currency(),
            Currency::from_code("EUR").unwrap()
        );
    }

    #[test]
    fn test_settles() {
        assert_eq!(FXUnderlying::USDCAD.settles(), 1);
        assert_eq!(FXUnderlying::EURUSD.settles(), 2);
    }

    #[test]
    fn test_other_static() -> Result<()> {
        let d1 = NaiveDate::from_ymd_opt(2023, 11, 24).unwrap();
        let d2 = NaiveDate::from_ymd_opt(2024, 11, 24).unwrap();
        assert_eq!(
            FXUnderlying::EURUSD.day_count().day_count(d1, d2)?,
            Actual360.day_count(d1, d2)?
        );
        assert_eq!(
            FXUnderlying::EURUSD.hours(),
            NaiveTime::from_hms_micro_opt(22, 0, 0, 0).unwrap()
        );

        Ok(())
    }
}