Enum YieldType 

pub enum YieldType {
    Par,
    Zero,
}

Whether a YieldCurve contains par yields or zero (spot) rates.

Par yields

The yields published daily by the US Treasury are par yields — the coupon rate that makes a theoretical bond priced at par (100). These are quoted as Bond Equivalent Yields (BEY, semi-annual) and converted to continuously compounded rates when stored in points.

Zero rates

A zero-coupon (spot) rate is the yield on a single cash flow at time T. For discount-factor arithmetic (DF(T) = exp(-z(T) * T)) you need zero rates, not par rates. For flat curves the two are equal; on non-flat curves they differ, sometimes materially.

Obtain a zero curve via YieldCurve::bootstrap_zero.

Variants

Par

Par yield — as published by the US Treasury (BEY, converted to continuously compounded on ingest). This is the default.

Zero

Zero-coupon (spot) rate — bootstrapped from par yields.

Trait Implementations

impl Clone for YieldType

fn clone(&self) -> YieldType

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for YieldType

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

Formats the value using the given formatter.

impl<'de> Deserialize<'de> for YieldType

fn deserialize<__D>(__deserializer: __D) -> Result<Self, __D::Error>

where __D: Deserializer<'de>,

Deserialize this value from the given Serde deserializer.

impl PartialEq for YieldType

fn eq(&self, other: &YieldType) -> bool

Tests for self and other values to be equal, and is used by ==.

fn ne(&self, other: &Rhs) -> bool

Tests for !=. The default implementation is almost always sufficient, and should not be overridden without very good reason.

impl Serialize for YieldType

fn serialize<__S>(&self, __serializer: __S) -> Result<__S::Ok, __S::Error>

where __S: Serializer,

Serialize this value into the given Serde serializer.

impl Copy for YieldType

impl Eq for YieldType

impl StructuralPartialEq for YieldType