Struct FinancingModel 

pub struct FinancingModel<Tz: TimeZone = Utc> { /* private fields */ }

A CFD’s overnight financing: at each daily cutoff, the position pays notional × rate × days / basis at the rate for its side, and receives it when that rate is negative.

Rates come from the instrument’s FinancingRates at the cutoff; an instrument with none is not charged. The cutoff, its days and the basis come from the DailyAccrual.

Charged as CashFlowKind::Financing, with the rate for the position’s side and its notional.

Implementations

impl<Tz: TimeZone> FinancingModel<Tz>

pub fn new(accrual: DailyAccrual<Tz>) -> Self

A model charging at accrual’s cutoffs, with no instrument’s rates yet.

pub fn with_rates( self, instrument: InstrumentNameExchange, rates: FinancingRates, ) -> Self

Charges a position in instrument at rates.

Trait Implementations

impl<Tz: Clone + TimeZone> Clone for FinancingModel<Tz>

fn clone(&self) -> Self

Returns a duplicate of the value.

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source.

impl<Tz: Debug + TimeZone> Debug for FinancingModel<Tz>

fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter.

impl<Tz> HoldingCostModel for FinancingModel<Tz>

where Tz: TimeZone + Debug + Send + Sync,

fn next_boundary( &self, instrument: &InstrumentNameExchange, after: DateTime<Utc>, ) -> Option<DateTime<Utc>>

The first boundary strictly after after at which this model charges instrument, or None if it never does.

fn charge( &self, position: &HeldPosition<'_>, boundary: DateTime<Utc>, ) -> Option<HoldingCharge>

What position, held across boundary, is charged there, or None for nothing.