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
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
138
139
140
141
142
143
144
145
146
147

use crate::{
    core::{
        instrument::{AssetClass, Instrument},
        trade::{Side, Trade},
    },
    currencies::currency::Currency,
    indices::marketindex::MarketIndex,
    time::{date::Date, daycounter::DayCounter},
};

/// A [`Futures`] represents an exchange-traded futures contract.
///
/// It models an exchange-traded futures contract on an underlying asset
/// (equity index, commodity, interest rate, etc.). Unlike forwards, futures are
/// marked-to-market daily through the exchange clearing house.
#[allow(clippy::struct_field_names)]
pub struct Futures {
    identifier: String,
    market_index: MarketIndex,
    expiry_date: Date,
    futures_price: f64,
    contract_size: f64,
    currency: Currency,
    day_counter: DayCounter,
}

impl Futures {
    /// Creates a new [`Futures`].
    #[must_use]
    pub const fn new(
        identifier: String,
        market_index: MarketIndex,
        expiry_date: Date,
        futures_price: f64,
        contract_size: f64,
        currency: Currency,
        day_counter: DayCounter,
    ) -> Self {
        Self {
            identifier,
            market_index,
            expiry_date,
            futures_price,
            contract_size,
            currency,
            day_counter,
        }
    }

    /// Returns the market index for the underlying.
    #[must_use]
    pub fn market_index(&self) -> MarketIndex {
        self.market_index.clone()
    }

    /// Returns the expiry date of the contract.
    #[must_use]
    pub const fn expiry_date(&self) -> Date {
        self.expiry_date
    }

    /// Returns the agreed futures price.
    #[must_use]
    pub const fn futures_price(&self) -> f64 {
        self.futures_price
    }

    /// Returns the contract size (multiplier).
    #[must_use]
    pub const fn contract_size(&self) -> f64 {
        self.contract_size
    }

    /// Returns the currency of the contract.
    #[must_use]
    pub const fn currency(&self) -> &Currency {
        &self.currency
    }

    /// Returns the day count convention.
    #[must_use]
    pub const fn day_counter(&self) -> &DayCounter {
        &self.day_counter
    }
}

impl Instrument for Futures {
    fn identifier(&self) -> String {
        self.identifier.clone()
    }

    fn asset_class(&self) -> AssetClass {
        AssetClass::Equity
    }
}

/// Represents a trade (position) in a futures contract.
pub struct FuturesTrade {
    instrument: Futures,
    trade_date: Date,
    num_contracts: f64,
    side: Side,
}

impl FuturesTrade {
    /// Creates a new [`FuturesTrade`].
    #[must_use]
    pub const fn new(
        instrument: Futures,
        trade_date: Date,
        num_contracts: f64,
        side: Side,
    ) -> Self {
        Self {
            instrument,
            trade_date,
            num_contracts,
            side,
        }
    }

    /// Returns the number of contracts in the position.
    #[must_use]
    pub const fn num_contracts(&self) -> f64 {
        self.num_contracts
    }

    /// Returns the total notional exposure (number of contracts × contract size × futures price).
    #[must_use]
    pub fn notional(&self) -> f64 {
        self.num_contracts * self.instrument.contract_size() * self.instrument.futures_price()
    }
}

impl Trade<Futures> for FuturesTrade {
    fn instrument(&self) -> &Futures {
        &self.instrument
    }

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

    fn side(&self) -> Side {
        self.side
    }
}