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
136
137

use chrono::NaiveDate;
use serde::{Deserialize, Serialize};

use crate::error::Result;
use crate::markets::interestrate::futures::InterestRateFutures;
use crate::markets::interestrate::interestrateindex::InterestRateIndex;
use crate::markets::termstructures::yieldcurve::{
    InterestRateQuote, InterestRateQuoteEnum, StrippedCurve,
};
use crate::time::daycounters::DayCounters;
use crate::time::daycounters::actual365fixed::Actual365Fixed;
use crate::time::imm::IMM;

/// Interest rate futures.
#[derive(Deserialize, Serialize, Debug)]
pub struct FuturesRate {
    pub value: f64,
    pub imm_code: String,
    pub convexity_adjustment: f64,
    pub futures_spec: InterestRateFutures,
    pub interest_rate_index: InterestRateIndex,
}

impl FuturesRate {
    pub fn implied_quote(&self) -> f64 {
        1f64 - self.value / 100.0 + self.convexity_adjustment / 100.0
    }

    pub fn discount(
        &self,
        valuation_date: NaiveDate,
        stripped_curves: &Vec<StrippedCurve>,
    ) -> Result<f64> {
        let settle_date = self.settle_date(valuation_date)?;
        let maturity_date = self.maturity_date(valuation_date)?;
        let year_fraction_index = self
            .interest_rate_index
            .day_counter
            .year_fraction(settle_date, maturity_date)?;
        let hidden_discount = 1.0 / (1.0 + year_fraction_index * self.implied_quote());
        let previous_curve = self.retrieve_related_stripped_curve(stripped_curves, settle_date);
        let year_fraction = Actual365Fixed::default().year_fraction(valuation_date, settle_date)?;
        Ok(hidden_discount * (-previous_curve.zero_rate * year_fraction).exp())
    }

    pub fn zero_rate(
        &self,
        valuation_date: NaiveDate,
        stripped_curves: &Vec<StrippedCurve>,
    ) -> Result<f64> {
        let mut is_first = true;
        for stripped_curve in stripped_curves {
            if stripped_curve.source == InterestRateQuoteEnum::Futures {
                is_first = false;
            }
        }
        let target_discount = self.discount(valuation_date, stripped_curves)?;
        let maturity_date = self.maturity_date(valuation_date)?;
        let zero_rate = if is_first {
            let mut cum_discount = 1f64;
            for i in 0..stripped_curves.len() {
                let accrual_start_date = if i == 0 {
                    valuation_date
                } else {
                    stripped_curves[i - 1].date
                };
                let accrual_end_date = stripped_curves[i].date;
                let year_fraction = Actual365Fixed::default()
                    .year_fraction(accrual_start_date, accrual_end_date)?;
                cum_discount *= (-stripped_curves[i].zero_rate * year_fraction).exp();
            }

            let year_fraction = Actual365Fixed::default()
                .year_fraction(stripped_curves.last().unwrap().date, maturity_date)?;
            -(target_discount / cum_discount).ln() / year_fraction
        } else {
            let year_fraction =
                Actual365Fixed::default().year_fraction(valuation_date, maturity_date)?;
            -target_discount.ln() / year_fraction
        };

        Ok(zero_rate)
    }
}

impl InterestRateQuote for FuturesRate {
    fn yts_type(&self) -> InterestRateQuoteEnum {
        InterestRateQuoteEnum::Futures
    }
    fn settle_date(&self, valuation_date: NaiveDate) -> Result<NaiveDate> {
        Ok(IMM
            .date(self.imm_code.clone(), Some(valuation_date))
            .unwrap())
    }
    fn maturity_date(&self, valuation_date: NaiveDate) -> Result<NaiveDate> {
        self.futures_spec
            .maturity_date(self.settle_date(valuation_date)?)
    }
}

#[cfg(test)]
mod tests {
    use super::FuturesRate;
    use crate::error::Result;
    use crate::markets::interestrate::futures::InterestRateFutures;
    use crate::markets::interestrate::interestrateindex::{
        InterestRateIndex, InterestRateIndexEnum,
    };
    use crate::markets::termstructures::yieldcurve::InterestRateQuote;
    use crate::time::period::Period;
    use chrono::NaiveDate;

    #[test]
    fn test_settle_date_and_maturity_date() -> Result<()> {
        let valuation_date = NaiveDate::from_ymd_opt(2023, 10, 27).unwrap();
        let future_quote = FuturesRate {
            value: 96.045,
            imm_code: "X3".to_string(),
            convexity_adjustment: -0.00015,
            futures_spec: InterestRateFutures::new(Period::Months(3)),
            interest_rate_index: InterestRateIndex::from_enum(InterestRateIndexEnum::EUIBOR(
                Period::Months(3),
            ))
            .unwrap(),
        };
        assert_eq!(
            future_quote.settle_date(valuation_date)?,
            NaiveDate::from_ymd_opt(2023, 11, 15).unwrap()
        );
        assert_eq!(
            future_quote.maturity_date(valuation_date)?,
            NaiveDate::from_ymd_opt(2024, 2, 21).unwrap()
        );

        Ok(())
    }
}