Struct TermStructureBasis 

pub struct TermStructureBasis { /* private fields */ }

Term-Structure Basis — the relative basis between a dated (e.g. quarterly) futures price and the spot index.

basis = (futuresPrice − indexPrice) / indexPrice

Where FundingBasis measures the perpetual’s premium to spot, this measures a dated future’s — the term-structure carry that a calendar or cash-and-carry trade harvests as the contract converges to spot at expiry. A positive basis is contango (futures above spot), a negative one backwardation. The output is a fraction (e.g. 0.02 = 2%); multiply by 10_000 for basis points.

Input = DerivativesTick, Output = f64. Stateless; ready after the first tick.

Example

use wickra_core::{DerivativesTick, Indicator, TermStructureBasis};

fn tick(futures: f64, index: f64) -> DerivativesTick {
    DerivativesTick::new(0.0, index, index, futures, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0.0, 0)
        .unwrap()
}

let mut ts = TermStructureBasis::new();
// futures 102 vs index 100 -> 0.02 (2% contango).
assert!((ts.update(tick(102.0, 100.0)).unwrap() - 0.02).abs() < 1e-12);

Implementations

impl TermStructureBasis

pub const fn new() -> Self

Construct a new term-structure basis indicator.

Trait Implementations

impl Clone for TermStructureBasis

fn clone(&self) -> TermStructureBasis

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for TermStructureBasis

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

Formats the value using the given formatter.

impl Default for TermStructureBasis

fn default() -> TermStructureBasis

Returns the “default value” for a type.

impl Indicator for TermStructureBasis

type Input = DerivativesTick

Type of one input data point (typically f64 for a price, or Candle / Tick).

type Output = f64

Type of one output value.

fn update(&mut self, tick: DerivativesTick) -> Option<f64>

Feed one new data point into the indicator and return the freshly computed output, or None if the indicator is still warming up.

fn reset(&mut self)

Reset all internal state, leaving the indicator equivalent to a freshly constructed instance with the same parameters.

fn warmup_period(&self) -> usize

Number of inputs required before the first non-None output can be produced.

fn is_ready(&self) -> bool

Whether the indicator has emitted at least one value since the last reset.

fn name(&self) -> &'static str

Stable, human-readable indicator name. Used by chaining and diagnostics.