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
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164

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

/// A [`CrossCurrencySwap`] represents a swap with legs in different currencies.
///
/// Typically one leg pays a fixed (or floating) rate in one currency while the
/// other pays a floating (or fixed) rate in a second currency, with notional exchanges at
/// inception and maturity.
pub struct CrossCurrencySwap {
    identifier: String,
    legs: Vec<Leg>,
    domestic_currency: Currency,
    foreign_currency: Currency,
    domestic_market_index: MarketIndex,
    foreign_market_index: MarketIndex,
}

impl CrossCurrencySwap {
    /// Creates a new [`CrossCurrencySwap`].
    ///
    /// `domestic_leg` is the leg denominated in the domestic currency (stored at index 0);
    /// `foreign_leg` is the leg denominated in the foreign currency (stored at index 1).
    #[must_use]
    pub fn new(
        identifier: String,
        domestic_leg: Leg,
        foreign_leg: Leg,
        domestic_currency: Currency,
        foreign_currency: Currency,
        domestic_market_index: MarketIndex,
        foreign_market_index: MarketIndex,
    ) -> Self {
        Self {
            identifier,
            legs: vec![domestic_leg, foreign_leg],
            domestic_currency,
            foreign_currency,
            domestic_market_index,
            foreign_market_index,
        }
    }

    /// Returns a reference to the domestic leg (leg 0).
    #[must_use]
    pub fn domestic_leg(&self) -> &Leg {
        &self.legs[0]
    }

    /// Returns a reference to the foreign leg (leg 1).
    #[must_use]
    pub fn foreign_leg(&self) -> &Leg {
        &self.legs[1]
    }

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

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

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

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

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

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

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

/// Represents a trade of a cross-currency swap.
pub struct CrossCurrencySwapTrade {
    instrument: CrossCurrencySwap,
    trade_date: Date,
    domestic_notional: f64,
    foreign_notional: f64,
    side: Side,
}

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

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

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

impl Trade<CrossCurrencySwap> for CrossCurrencySwapTrade {
    fn instrument(&self) -> &CrossCurrencySwap {
        &self.instrument
    }

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

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

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