Struct FXRolloverInterestModule 

pub struct FXRolloverInterestModule { /* private fields */ }

Simulates FX rollover (swap) interest applied at 5 PM US/Eastern daily.

When holding FX positions overnight, the interest rate differential between the two currencies is credited or debited. Wednesday and Friday rollovers are tripled (Wednesday for T+2 settlement, Friday for the weekend).

Implementations

impl FXRolloverInterestModule

pub fn new(records: Vec<InterestRateRecord>) -> Result<Self>

Creates a new FX rollover interest module.

Records with unsupported location codes are ignored.

Errors

Returns an error if any interest rate is not finite.

Trait Implementations

impl Clone for FXRolloverInterestModule

fn clone(&self) -> FXRolloverInterestModule

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for FXRolloverInterestModule

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

Formats the value using the given formatter.

impl SimulationModule for FXRolloverInterestModule

fn pre_process(&self, _data: &Data)

Pre-processes market data before matching engine processing.

fn process( &self, ts_now: UnixNanos, ctx: &ExchangeContext<'_>, ) -> SimulationModuleResult

Processes simulation logic at the given timestamp.

fn acknowledge(&self, outcomes: &[AccountAdjustmentOutcome])

Acknowledges the ordered application outcomes for a completed batch.

fn log_diagnostics(&self)

Logs diagnostic information about the module’s state.

fn reset(&self)

Resets the module to its initial state.