finquant 0.0.58

Experimental Rust Quant Library
Documentation 
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135

use crate::time::businessdayconvention::BusinessDayConvention;
use crate::time::calendars::unitedkingdom::UnitedKingdomMarket;
use crate::time::calendars::unitedstates::UnitedStatesMarket;
use crate::time::calendars::{Austria, Calendar, Target, UnitedKingdom, UnitedStates};
use crate::time::daycounters::DayCounters;
use crate::time::daycounters::actual360::Actual360;
use crate::time::daycounters::actual365fixed::Actual365Fixed;
use crate::time::period::Period;
use iso_currency::Currency;
use iso_currency::Currency::{AUD, EUR, GBP, USD};
use serde::{Deserialize, Serialize};

#[allow(clippy::upper_case_acronyms)]
#[derive(Deserialize, Serialize, PartialEq, Debug)]
pub enum InterestRateIndexEnum {
    AONIA,
    CDOR(Period),
    EONIA,
    ESTR,
    EUIBOR(Period),
    SONIA,
    SOFR,
}

#[derive(Deserialize, Serialize, Debug)]
pub struct InterestRateIndex {
    pub period: Period,
    pub settlement_days: i64,
    pub currency: Currency,
    pub calendar: Box<dyn Calendar>,
    pub convention: BusinessDayConvention,
    pub day_counter: Box<dyn DayCounters>,
    pub end_of_month: bool,
}

impl InterestRateIndex {
    pub fn from_enum(code: InterestRateIndexEnum) -> Option<InterestRateIndex> {
        // TODO (DS): why does this return Option?
        match code {
            InterestRateIndexEnum::AONIA => Some(InterestRateIndex {
                period: Period::SPOT,
                settlement_days: 0,
                currency: AUD,
                calendar: Box::<Austria>::default(),
                convention: BusinessDayConvention::ModifiedFollowing,
                day_counter: Box::<Actual365Fixed>::default(),
                end_of_month: false,
            }),
            InterestRateIndexEnum::CDOR(period) => Some(InterestRateIndex {
                period,
                settlement_days: 0,
                currency: USD,
                calendar: Box::new(UnitedStates {
                    market: Some(UnitedStatesMarket::SOFR),
                }),
                convention: BusinessDayConvention::ModifiedFollowing,
                day_counter: Box::new(Actual360),
                end_of_month: false,
            }),
            InterestRateIndexEnum::EONIA => Some(InterestRateIndex {
                period: Period::SPOT,
                settlement_days: 0,
                currency: EUR,
                calendar: Box::<Target>::default(),
                convention: BusinessDayConvention::ModifiedFollowing,
                day_counter: Box::new(Actual360),
                end_of_month: false,
            }),
            InterestRateIndexEnum::ESTR => Some(InterestRateIndex {
                period: Period::SPOT,
                settlement_days: 0,
                currency: EUR,
                calendar: Box::<Target>::default(),
                convention: BusinessDayConvention::ModifiedFollowing,
                day_counter: Box::new(Actual360),
                end_of_month: false,
            }),
            InterestRateIndexEnum::EUIBOR(period) => match period {
                Period::Days(_) | Period::Weeks(_) => Some(InterestRateIndex {
                    period,
                    settlement_days: 2,
                    currency: EUR,
                    calendar: Box::<Target>::default(),
                    convention: BusinessDayConvention::Following,
                    day_counter: Box::new(Actual360),
                    end_of_month: false,
                }),
                _ => Some(InterestRateIndex {
                    period,
                    settlement_days: 2,
                    currency: EUR,
                    calendar: Box::<Target>::default(),
                    convention: BusinessDayConvention::ModifiedFollowing,
                    day_counter: Box::new(Actual360),
                    end_of_month: false,
                }),
            },
            InterestRateIndexEnum::SOFR => Some(InterestRateIndex {
                period: Period::SPOT,
                settlement_days: 0,
                currency: USD,
                calendar: Box::new(UnitedStates {
                    market: Some(UnitedStatesMarket::SOFR),
                }),
                convention: BusinessDayConvention::ModifiedFollowing,
                day_counter: Box::new(Actual360),
                end_of_month: false,
            }),
            InterestRateIndexEnum::SONIA => Some(InterestRateIndex {
                period: Period::SPOT,
                settlement_days: 0,
                currency: GBP,
                calendar: Box::new(UnitedKingdom {
                    market: Some(UnitedKingdomMarket::Exchange),
                }),
                convention: BusinessDayConvention::ModifiedFollowing,
                day_counter: Box::<Actual365Fixed>::default(),
                end_of_month: false,
            }),
        }
    }
}

#[cfg(test)]
mod tests {
    use super::{InterestRateIndex, InterestRateIndexEnum};
    use crate::time::period::Period;

    #[test]
    fn test_from_enum() {
        let interest_rate_index =
            InterestRateIndex::from_enum(InterestRateIndexEnum::EUIBOR(Period::Months(3))).unwrap();
        assert_eq!(interest_rate_index.settlement_days, 2i64);
    }
}