quantsupport 0.1.0

Rust library for fixed-income, derivative pricing and risk analytics.
Documentation 
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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 [`FloatFloatCrossCurrencySwap`] is a cross-currency swap with two floating legs.
///
/// Both legs pay floating rates (each referencing an index in its own currency) plus
/// optional spreads. Notional exchanges typically occur at inception and maturity at
/// the initial FX spot rate.
pub struct FloatFloatCrossCurrencySwap {
    identifier: String,
    legs: Vec<Leg>,
    domestic_currency: Currency,
    foreign_currency: Currency,
    domestic_market_index: MarketIndex,
    foreign_market_index: MarketIndex,
}

impl FloatFloatCrossCurrencySwap {
    /// Creates a new [`FloatFloatCrossCurrencySwap`].
    ///
    /// `domestic_leg` is the floating leg in the domestic currency (index 0);
    /// `foreign_leg` is the floating leg in the foreign currency (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 FloatFloatCrossCurrencySwap {
    fn identifier(&self) -> String {
        self.identifier.clone()
    }

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

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

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

impl FloatFloatCrossCurrencySwapTrade {
    /// Creates a new [`FloatFloatCrossCurrencySwapTrade`].
    #[must_use]
    pub const fn new(
        instrument: FloatFloatCrossCurrencySwap,
        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<FloatFloatCrossCurrencySwap> for FloatFloatCrossCurrencySwapTrade {
    fn instrument(&self) -> &FloatFloatCrossCurrencySwap {
        &self.instrument
    }

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

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

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