Enum CalibrationInstrument 

pub enum CalibrationInstrument {
    ZeroRate {
        maturity: Date,
        rate: f64,
    },
    ParSwap {
        maturity: Date,
        rate: f64,
        frequency: u32,
    },
}

A quoted instrument a curve is calibrated to.

Variants

ZeroRate

A continuously compounded zero rate quoted directly for maturity.

Fields

maturity: Date

rate: f64

ParSwap

A par swap: rate paid frequency times a year until maturity, worth zero today.

The par condition used is rate * annuity = 1 - discount(maturity), with the annuity summed over the swap’s own payment schedule. That is the textbook single-curve relationship: it assumes discounting and projection happen on the same curve, which is the case this crate models. A market that discounts on a separate collateral curve needs a second curve, and pretending otherwise here would misprice by exactly that difference.

Fields

maturity: Date

rate: f64

frequency: u32

Implementations

impl CalibrationInstrument

pub fn maturity(&self) -> Date

Trait Implementations

impl Clone for CalibrationInstrument

fn clone(&self) -> CalibrationInstrument

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Copy for CalibrationInstrument

impl Debug for CalibrationInstrument

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

Formats the value using the given formatter.

impl<'de> Deserialize<'de> for CalibrationInstrument

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

where __D: Deserializer<'de>,

Deserialize this value from the given Serde deserializer.

impl PartialEq for CalibrationInstrument

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

Equality operator ==.

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

Inequality operator !=.

impl Serialize for CalibrationInstrument

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

where __S: Serializer,

Serialize this value into the given Serde serializer.

impl StructuralPartialEq for CalibrationInstrument