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use std::collections::HashMap;
use crate::{
currencies::currency::Currency,
indices::marketindex::MarketIndex,
instruments::cashflows::leg::Leg,
quotes::fxstore::FxStore,
rates::bootstrapping::{
bootstrapdiscountpolicy::BootstrapDiscountPolicy, bootstrappedcurve::BootstrappedCurve,
},
utils::errors::{QSError, Result},
};
/// Merges the trial curve (the one being solved) with all previously-solved
/// curves and provides per-leg curve resolution via the
/// [`BootstrapDiscountPolicy`].
pub struct BootstrapStep<'a> {
curves: HashMap<MarketIndex, &'a BootstrappedCurve>,
discount_policy: &'a BootstrapDiscountPolicy,
fx_store: &'a FxStore,
}
impl<'a> BootstrapStep<'a> {
/// Builds a curve set from the trial curve and the already-solved curves.
#[must_use]
pub fn new(
trial: &'a BootstrappedCurve,
other_curves: &'a HashMap<MarketIndex, BootstrappedCurve>,
discount_policy: &'a BootstrapDiscountPolicy,
fx_store: &'a FxStore,
) -> Self {
let mut curves: HashMap<MarketIndex, &BootstrappedCurve> =
other_curves.iter().map(|(k, v)| (k.clone(), v)).collect();
curves.insert(trial.market_index(), trial);
Self {
curves,
discount_policy,
fx_store,
}
}
/// Looks up a curve by market index.
#[must_use]
pub fn get(&self, index: &MarketIndex) -> Option<&BootstrappedCurve> {
self.curves.get(index).copied()
}
/// Returns the discount policy.
#[must_use]
pub const fn discount_policy(&self) -> &BootstrapDiscountPolicy {
self.discount_policy
}
/// Resolves the discount curve for the given leg via the discount policy.
///
/// # Errors
/// Returns an error if the leg's discount index cannot be resolved via the policy or if the corresponding curve is not found in the curve set, which typically indicates a misconfiguration in the curve
pub fn discount_curve_for_leg(&self, leg: &Leg<f64>) -> Result<&BootstrappedCurve> {
let index = self.discount_policy.discount_index(leg)?;
self.curves
.get(&index)
.copied()
.ok_or_else(|| QSError::NotFoundErr(format!("Missing discount curve {index}")))
}
/// Resolves the forward/projection curve for the given leg, if it has one.
///
/// # Errors
/// Returns an error if the leg has a forward index but the corresponding curve is not found in the curve set, which typically indicates a misconfiguration in the curve specifications or an issue with the
pub fn forward_curve_for_leg(&self, leg: &Leg<f64>) -> Result<Option<&BootstrappedCurve>> {
match leg.forward_index() {
Some(idx) => {
let curve =
self.curves.get(idx).copied().ok_or_else(|| {
QSError::NotFoundErr(format!("Missing forward curve {idx}"))
})?;
Ok(Some(curve))
}
None => Ok(None),
}
}
/// Looks up the FX spot rate.
///
/// # Errors
/// Returns an error if the exchange rate for the given currency pair is not available in the [`FxStore`].
/// The error message will indicate the missing currency pair to aid in debugging bootstr
pub fn fx_spot(&self, base: Currency, quote: Currency) -> Result<f64> {
Ok(self.fx_store.get_fx_rate(base, quote)?.value())
}
}