Enum Compounding 

pub enum Compounding {
    Simple,
    Continuous,
    Periodic {
        periods_per_year: u32,
    },
}

Compounding convention for converting between discount factors and zero rates.

For time t > 0 and zero rate r:

Variant	Discount factor	Inverse
Simple	D = 1 / (1 + r*t)	r = (1/D - 1) / t
Continuous	D = exp(-r*t)	r = -ln(D) / t
Periodic { n }	D = (1 + r/n)^(-n*t)	r = n * (D^(-1/(n*t)) - 1)

At t = 0 the discount factor is exactly 1 for any rate, and the “rate implied by D = 1” is 0. All other queries with t = 0 are errors.

Variants

Simple

Simple interest: D = 1 / (1 + r * t).

Continuous

Continuously compounded: D = exp(-r * t).

Periodic

Periodic compounding with n periods per year.

Fields

periods_per_year: u32

Number of compounding periods per year (1 annual, 2 semi-annual, 4 quarterly, 12 monthly).

Implementations

impl Compounding

pub fn discount_from_rate(self, rate: f64, t: f64) -> Result<f64, TypeError>

Returns the discount factor implied by a zero rate over time t.

Errors

• TypeError::NonFinite if rate or t is not finite.
• TypeError::NonPositiveRange if t < 0.
• TypeError::InvalidTenor if Compounding::Periodic has periods_per_year == 0.

Examples

use regit_curves::types::Compounding;

let d = Compounding::Continuous.discount_from_rate(0.05, 2.0).unwrap();
assert!((d - (-0.10_f64).exp()).abs() < 1e-15);

pub fn rate_from_discount(self, discount: f64, t: f64) -> Result<f64, TypeError>

Returns the zero rate implied by a discount factor over time t.

At t = 0 and discount = 1 the function returns 0.0. Any other t = 0 query is rejected because the rate is undefined.

Errors

• TypeError::NonFinite if discount or t is not finite.
• TypeError::NonPositiveRange if t < 0, or if t == 0 and discount != 1.0.
• TypeError::InvalidTenor if discount <= 0 (the rate is undefined / infinite), or if Compounding::Periodic has periods_per_year == 0.

Examples

use regit_curves::types::Compounding;

let r = Compounding::Continuous
    .rate_from_discount((-0.10_f64).exp(), 2.0)
    .unwrap();
assert!((r - 0.05).abs() < 1e-15);

Trait Implementations

impl Clone for Compounding

fn clone(&self) -> Compounding

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Copy for Compounding

impl Debug for Compounding

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

Formats the value using the given formatter.

impl Eq for Compounding

impl Hash for Compounding

fn hash<__H: Hasher>(&self, state: &mut __H)

Feeds this value into the given Hasher.

fn hash_slice<H>(data: &[Self], state: &mut H)

where H: Hasher, Self: Sized,

Feeds a slice of this type into the given Hasher.

impl PartialEq for Compounding

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

Equality operator ==.

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

Inequality operator !=.

impl StructuralPartialEq for Compounding