quantsupport 0.1.0

Rust library for fixed-income, derivative pricing and risk analytics.
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

use serde::{Deserialize, Serialize};

use crate::{
    ad::adreal::{ADReal, IsReal},
    instruments::cashflows::{cashflow::Cashflow, coupons::LinearCoupon},
    rates::interestrate::InterestRate,
    time::date::Date,
    utils::errors::Result,
};

/// A [`FixedRateCoupon`] represents a cash flow from a fixed-rate bond or loan.
#[derive(Debug, Clone, Serialize, Deserialize)]
pub struct FixedRateCoupon<T: IsReal> {
    notional: f64,
    rate: Box<InterestRate<T>>,
    accrual_start_date: Date,
    accrual_end_date: Date,
    payment_date: Date,
}

impl<T: IsReal> FixedRateCoupon<T> {
    /// Creates a new [`FixedRateCoupon`].
    #[must_use] 
    pub const fn new(
        notional: f64,
        rate: Box<InterestRate<T>>,
        accrual_start_date: Date,
        accrual_end_date: Date,
        payment_date: Date,
    ) -> Self {
        Self {
            notional,
            rate,
            accrual_start_date,
            accrual_end_date,
            payment_date,
        }
    }

    /// Returns the interest rate associated with this coupon.
    #[must_use] 
    pub fn rate(&self) -> &InterestRate<T> {
        &self.rate
    }

    /// Returns the accrual start date.
    #[must_use] 
    pub const fn accrual_start_date(&self) -> Date {
        self.accrual_start_date
    }

    /// Returns the accrual end date.
    #[must_use] 
    pub const fn accrual_end_date(&self) -> Date {
        self.accrual_end_date
    }

    /// Returns the notional amount.
    #[must_use] 
    pub const fn notional(&self) -> f64 {
        self.notional
    }
}

impl Cashflow<ADReal> for FixedRateCoupon<ADReal> {
    fn amount(&self) -> Result<ADReal> {
        let year_fraction = self
            .rate
            .day_counter()
            .year_fraction(self.accrual_start_date, self.accrual_end_date);
        Ok((self.rate.rate() * year_fraction * self.notional).into())
    }

    fn payment_date(&self) -> Date {
        self.payment_date
    }
}

impl LinearCoupon<ADReal> for FixedRateCoupon<ADReal> {
    fn accrued_amount(&self, start_date: Date, end_date: Date) -> Result<ADReal> {
        let year_fraction = self.rate.day_counter().year_fraction(start_date, end_date);
        Ok((self.rate.rate() * year_fraction * self.notional).into())
    }

    fn accrual_start_date(&self) -> Date {
        self.accrual_start_date
    }

    fn accrual_end_date(&self) -> Date {
        self.accrual_end_date
    }

    fn notional(&self) -> f64 {
        self.notional
    }
}