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

use crate::{
    core::{
        collateral::HasCurrency,
        instrument::{AssetClass, Instrument},
        request::LegsProvider,
        trade::{Side, Trade},
    },
    currencies::currency::Currency,
    indices::marketindex::MarketIndex,
    instruments::cashflows::leg::Leg,
    time::date::Date,
};

/// A [`FloatingRateNote`] represents a bond that pays periodic floating-rate coupons
/// (typically referencing an interest rate index plus a spread) and repays its principal at maturity.
pub struct FloatingRateNote {
    identifier: String,
    units: f64,
    leg: Leg,
    market_index: MarketIndex,
    currency: Currency,
}

impl FloatingRateNote {
    /// Creates a new [`FloatingRateNote`].
    #[must_use]
    pub const fn new(
        identifier: String,
        units: f64,
        leg: Leg,
        market_index: MarketIndex,
        currency: Currency,
    ) -> Self {
        Self {
            identifier,
            units,
            leg,
            market_index,
            currency,
        }
    }

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

    /// Returns a reference to the inner leg.
    #[must_use]
    pub const fn leg(&self) -> &Leg {
        &self.leg
    }

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

impl HasCurrency for FloatingRateNote {
    fn currency(&self) -> Currency {
        self.currency
    }
}

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

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

impl LegsProvider for FloatingRateNote {
    fn legs(&self) -> &[Leg] {
        std::slice::from_ref(&self.leg)
    }
}

/// Represents a trade of a floating rate note instrument.
pub struct FloatingRateNoteTrade {
    instrument: FloatingRateNote,
    trade_date: Date,
    notional: f64,
    side: Side,
}

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

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

impl Trade<FloatingRateNote> for FloatingRateNoteTrade {
    fn instrument(&self) -> &FloatingRateNote {
        &self.instrument
    }

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

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

impl LegsProvider for FloatingRateNoteTrade {
    fn legs(&self) -> &[Leg] {
        self.instrument.legs()
    }
}