quantsupport 0.1.0

Rust library for fixed-income, derivative pricing and risk analytics.
Documentation 
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use crate::{
    core::{
        marketstore::MarketStore,
        meta::{DiscountFactorRequest, ExchangeRateRequest, ForwardRateRequest},
    },
    rates::{indexstore::ReadIndex, traits::HasReferenceDate},
    time::date::Date,
    utils::errors::Result,
};

use super::traits::Model;

/// # `SimpleModel`
/// A simple model that provides market data based on the current market state. Uses the
/// market store to get the market data (curves, currencies and others). All values are calculated using the
/// reference date and local currency of the market store.
///
/// ## Parameters
/// * `market_store` - The market store.
/// * `transform_currencies` - If true, the model will transform the currencies to the local currency of the market store.
#[derive(Clone)]
pub struct SimpleModel<'a> {
    market_store: &'a MarketStore,
    transform_currencies: bool,
}

#[allow(clippy::elidable_lifetime_names)]
impl<'a> SimpleModel<'a> {
    /// Creates a new `SimpleModel` instance.
    ///
    /// # Arguments
    /// * `market_store` - A reference to the market store containing market data.
    ///
    /// # Returns
    /// A new `SimpleModel` instance with currency transformation disabled by default.
    #[allow(clippy::missing_const_for_fn)]
    #[must_use]
    pub fn new(market_store: &'a MarketStore) -> Self {
        Self {
            market_store,
            transform_currencies: false,
        }
    }

    /// Enables or disables currency transformation to the local currency.
    ///
    /// # Arguments
    /// * `flag` - If `true`, currencies will be transformed to the local currency of the market store.
    ///
    /// # Returns
    /// The modified `SimpleModel` instance for method chaining.
    #[must_use]
    pub const fn with_transform_currencies(mut self, flag: bool) -> Self {
        self.transform_currencies = flag;
        self
    }
}

#[allow(clippy::elidable_lifetime_names)]
impl<'a> Model for SimpleModel<'a> {
    fn reference_date(&self) -> Date {
        self.market_store.reference_date()
    }

    fn gen_df_data(&self, df: DiscountFactorRequest) -> Result<f64> {
        let date = df.date();
        let ref_date = self.market_store.reference_date();

        // eval today or before ref date
        if ref_date > date {
            return Ok(0.0);
        } else if ref_date == date {
            return Ok(1.0);
        }

        let id = df.provider_id();
        let index = self.market_store.get_index(id)?;
        let curve = index.read_index()?.term_structure()?;
        curve.discount_factor(date)
    }

    fn gen_fwd_data(&self, fwd: ForwardRateRequest) -> Result<f64> {
        let id = fwd.provider_id();
        let end_date = fwd.end_date();
        let ref_date = self.market_store.reference_date();
        if end_date <= ref_date {
            return Ok(0.0);
        }

        let index = self.market_store.get_index(id)?;
        let fwd_rate_provider = index.read_index()?;
        let start_date = fwd.start_date();
        fwd_rate_provider.forward_rate(start_date, end_date, fwd.compounding(), fwd.frequency())
    }

    fn gen_numerarie(&self, _: &crate::prelude::MarketRequest) -> Result<f64> {
        Ok(1.0)
    }

    fn gen_fx_data(&self, fx: ExchangeRateRequest) -> Result<f64> {
        let first_currency = fx.first_currency();
        let second_currency = fx.second_currency().unwrap_or_else(|| {
            if self.transform_currencies {
                self.market_store.local_currency()
            } else {
                first_currency
            }
        });

        match fx.reference_date() {
            Some(date) => {
                let currency_forescast_factor = self
                    .market_store
                    .index_store()
                    .currency_forescast_factor(first_currency, second_currency, date)?;

                let spot = self
                    .market_store
                    .exchange_rate_store()
                    .get_exchange_rate(first_currency, second_currency)?;

                Ok(spot * currency_forescast_factor)
            }
            None => Ok(self
                .market_store
                .exchange_rate_store()
                .get_exchange_rate(first_currency, second_currency)?),
        }
    }
}