Struct HedgingGenerator 

pub struct HedgingGenerator { /* private fields */ }

Generates hedging instruments and hedge relationship designations.

Implementations

impl HedgingGenerator

pub fn new(config: HedgingSchemaConfig, seed: u64) -> Self

Creates a new hedging generator.

pub fn generate( &mut self, trade_date: NaiveDate, exposures: &[FxExposure], ) -> (Vec<HedgingInstrument>, Vec<HedgeRelationship>)

Generates hedging instruments and designations from FX exposures.

For each exposure, creates an FX forward covering hedge_ratio of the net exposure. If hedge accounting is enabled, also designates a HedgeRelationship with effectiveness testing.

pub fn generate_ir_swap( &mut self, entity_currency: &str, notional: Decimal, trade_date: NaiveDate, maturity_date: NaiveDate, ) -> HedgingInstrument

Generates an interest rate swap instrument.