Struct FixedRateBond 

pub struct FixedRateBond { /* private fields */ }

A fixed-rate bond: a nominal, a coupon rate, and the schedule that says when interest accrues and when it is paid.

The coupon of a period is face_value * coupon_rate * yearFraction(period) under the bond’s own day count. That is the convention itself doing the work rather than a fixed rate / frequency amount: under 30/360 both give the same number, while under an actual day count a 184-day half-year pays more than a 181-day one, as it should. Accrued interest uses the same expression over the part of the period already elapsed, so accrual and coupon can never disagree.

Discounting uses the payment dates — money moves then — while accrual uses the unadjusted period boundaries; see CouponSchedule.

Implementations

impl FixedRateBond

pub fn new( face_value: f64, coupon_rate: f64, frequency: u32, schedule: CouponSchedule, day_count: DayCountConvention, ) -> Result<Self, FinanceError>

pub fn schedule(&self) -> &CouponSchedule

pub fn face_value(&self) -> f64

pub fn coupon_amount(&self, index: usize) -> Option<f64>

Coupon paid for period index, from the day count over that period.

pub fn accrued_interest(&self, settlement: Date) -> f64

Interest earned but not yet paid at settlement.

Zero when settlement falls on a period boundary — the coupon for the period that just ended has been paid, and the new one has not started accruing. Zero as well outside the schedule entirely.

pub fn cashflows(&self, settlement: Date) -> Vec<Cashflow>

Every payment still outstanding after settlement, in order: the remaining coupons, with the nominal added to the last one.

A coupon whose payment date equals settlement is not outstanding — it is paid that day, which is also why accrued interest is zero there.

pub fn price( &self, settlement: Date, ytm: f64, ) -> Result<BondPricingResult, FinanceError>

Prices the bond at settlement for a given yield, compounded at the coupon frequency.

Every figure comes from the same cashflows: dirty price is their present value, clean price is that minus accrued interest, Macaulay duration their present-value-weighted time, and DV01 follows from dirty price and modified duration.

pub fn yield_to_maturity( &self, settlement: Date, clean_price: f64, ) -> Result<f64, FinanceError>

Inverts FixedRateBond::price: the yield at which the bond’s clean price equals clean_price.

Trait Implementations

impl Clone for FixedRateBond

fn clone(&self) -> FixedRateBond

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for FixedRateBond

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

Formats the value using the given formatter.

impl<'de> Deserialize<'de> for FixedRateBond

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

where __D: Deserializer<'de>,

Deserialize this value from the given Serde deserializer.

impl PartialEq for FixedRateBond

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

Equality operator ==.

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

Inequality operator !=.

impl Serialize for FixedRateBond

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 FixedRateBond