Struct YieldTermStructure 

pub struct YieldTermStructure {
    pub calendar: Box<dyn Calendar>,
    pub day_counter: Box<dyn DayCounters>,
    pub valuation_date: NaiveDate,
    pub stripped_curves: Vec<StrippedCurve>,
}

Yield term structure - this includes raw market data (cash, fra, futures, swaps), which yields stripped curves. Using stripped curves, one can get desired zero rate, forward rate and discount.

Fields

calendar: Box<dyn Calendar>

day_counter: Box<dyn DayCounters>

valuation_date: NaiveDate

stripped_curves: Vec<StrippedCurve>

Implementations

impl YieldTermStructure

pub fn new( calendar: Box<dyn Calendar>, day_counter: Box<dyn DayCounters>, valuation_date: NaiveDate, stripped_curves: Vec<StrippedCurve>, ) -> Self

pub fn zero_rate( &self, date: NaiveDate, interpolation_method_enum: &InterpolationMethodEnum, ) -> Result<f64>

Get zero rate by using stripped curve.

pub fn discount( &self, date: NaiveDate, interpolation_method_enum: &InterpolationMethodEnum, ) -> Result<f64>

Get discount factor by using stripped curve.

pub fn shifted_discount( &self, date: NaiveDate, interpolation_method_enum: &InterpolationMethodEnum, shift_bp: f64, ) -> Result<f64>

Discount factor under a parallel zero-rate shift of shift_bp basis points, applied uniformly across all pillars. Mathematically equivalent to constructing a new curve with every zero_rate bumped by shift_bp · 1e-4 and calling discount on it — regardless of interpolation scheme — because a constant-in-time shift factors out of the zero-rate lookup. Used for bump-and-reprice IR Greeks (DV01, gamma-1bp, modified duration).

pub fn forward_rate( &self, accrual_start_date: NaiveDate, tenor: Period, interpolation_method_enum: &InterpolationMethodEnum, ) -> Result<f64>

Get forward rate from zero rate.

Trait Implementations

impl Debug for YieldTermStructure

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

Formats the value using the given formatter.

impl<'de> Deserialize<'de> for YieldTermStructure

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

where __D: Deserializer<'de>,

Deserialize this value from the given Serde deserializer.

impl Observer for YieldTermStructure

fn update(&mut self, observable: &dyn Observable) -> Result<()>

fn as_any(&self) -> &dyn Any

impl Serialize for YieldTermStructure

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

where __S: Serializer,

Serialize this value into the given Serde serializer.