quantsupport 0.1.7

Rust quantitative finance library for derivatives pricing, yield-curve bootstrapping, AAD risk, Monte Carlo exposure, and XVA.
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

use serde::{Deserialize, Serialize};

use crate::{
    currencies::currency::Currency,
    indices::{
        marketindex::{MarketIndex, MarketIndexDetails},
        quotetype::QuoteType,
        rateindex::RateIndexDetails,
    },
    rates::{compounding::Compounding, interestrate::RateDefinition},
    time::{
        calendar::Calendar,
        calendars::weekendsonly::WeekendsOnly,
        daycounter::DayCounter,
        enums::Frequency,
    },
};

/// Details for CORRA (Canadian Overnight Repo Rate Average).
/// Overnight secured rate published by the Bank of Canada.
#[derive(Copy, Clone, Serialize, Default, Deserialize)]
pub struct CORRAIndex;

impl MarketIndexDetails for CORRAIndex {
    fn quote_type(&self) -> QuoteType {
        QuoteType::Rate
    }

    fn name(&self) -> &'static str {
        "CORRA"
    }
}

impl RateIndexDetails for CORRAIndex {
    fn calendar(&self) -> Calendar {
        Calendar::WeekendsOnly(WeekendsOnly::new())
    }

    fn currency(&self) -> Currency {
        Currency::CAD
    }

    fn fixing_lag(&self) -> i64 {
        0
    }

    fn rate_definition(&self) -> RateDefinition {
        RateDefinition::new(
            DayCounter::Actual365,
            Compounding::Simple,
            Frequency::Annual,
        )
    }

    fn market_index(&self) -> MarketIndex {
        MarketIndex::CORRA
    }
}