Struct PyRepoSpreadCurve 

pub struct PyRepoSpreadCurve {
    pub(crate) inner: Arc<Curve>,
}

A repo spread: the simple spreads a desk marks — GC against the overnight curve, a special against GC — at dated pillars, linear between them and flat outside, accruing on a money-market basis. Pinned with MarketContext.with_repo_spread over a base, it adds in simple-rate space, 1/P = 1/P_base + s·τ, and its pillars report risk on the repo axis.

Fields

inner: Arc<Curve>

Implementations

impl PyRepoSpreadCurve

fn spread_curve(&self) -> &RepoSpread

impl PyRepoSpreadCurve

fn __repr__(&self) -> String

pub(crate) fn new( reference: NaiveDate, pillars: Vec<(NaiveDate, f64)>, day_count: Named<DayCountFraction>, ) -> PyResult<Self>

A repo spread from (date, spread) pillars after reference, accruing on day_count (ACT/360 for USD and EUR, ACT/365.FIXED for GBP).

fn from_term_rates( base: &PyDiscountCurve, quotes: Vec<(NaiveDate, f64)>, day_count: Named<DayCountFraction>, ) -> PyResult<Self>

The spread over base that reprices term repos quoted from its reference date, quotes as (maturity, simple rate) on day_count: each pillar is the rate less the base’s simple rate to that date.

fn reference_date(&self) -> NaiveDate

The date the spread is measured from.

fn pillars(&self) -> Vec<(NaiveDate, f64)>

The pillars as (date, spread).

fn day_count(&self) -> String

The money-market day count the spread accrues on.

fn spread(&self, at: NaiveDate) -> PyResult<f64>

The spread at at.

Trait Implementations

impl Clone for PyRepoSpreadCurve

fn clone(&self) -> PyRepoSpreadCurve

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl DerefToPyAny for PyRepoSpreadCurve

impl IntoPy<Py<PyAny>> for PyRepoSpreadCurve

fn into_py(self, py: Python<'_>) -> PyObject

Performs the conversion.

impl PyClass for PyRepoSpreadCurve

type Frozen = True

Whether the pyclass is frozen.

impl PyClassImpl for PyRepoSpreadCurve

const IS_BASETYPE: bool = false

#[pyclass(subclass)]

const IS_SUBCLASS: bool = false

#[pyclass(extends=…)]

const IS_MAPPING: bool = false

#[pyclass(mapping)]

const IS_SEQUENCE: bool = false

#[pyclass(sequence)]

type BaseType = PyAny

Base class

type ThreadChecker = SendablePyClass<PyRepoSpreadCurve>

This handles following two situations:

type PyClassMutability = <<PyAny as PyClassBaseType>::PyClassMutability as PyClassMutability>::ImmutableChild

Immutable or mutable

type Dict = PyClassDummySlot

Specify this class has #[pyclass(dict)] or not.

type WeakRef = PyClassDummySlot

Specify this class has #[pyclass(weakref)] or not.

type BaseNativeType = PyAny

The closest native ancestor. This is PyAny by default, and when you declare #[pyclass(extends=PyDict)], it’s PyDict.

fn items_iter() -> PyClassItemsIter

fn doc(py: Python<'_>) -> PyResult<&'static CStr>

Rendered class doc

fn lazy_type_object() -> &'static LazyTypeObject<Self>

fn dict_offset() -> Option<isize>

fn weaklist_offset() -> Option<isize>

impl PyClassNewTextSignature<PyRepoSpreadCurve> for PyClassImplCollector<PyRepoSpreadCurve>

fn new_text_signature(self) -> Option<&'static str>

impl<'a, 'py> PyFunctionArgument<'a, 'py> for &'a PyRepoSpreadCurve

type Holder = Option<PyRef<'py, PyRepoSpreadCurve>>

fn extract( obj: &'a Bound<'py, PyAny>, holder: &'a mut Self::Holder, ) -> PyResult<Self>

impl PyMethods<PyRepoSpreadCurve> for PyClassImplCollector<PyRepoSpreadCurve>

fn py_methods(self) -> &'static PyClassItems

impl PyTypeInfo for PyRepoSpreadCurve

const NAME: &'static str = "RepoSpreadCurve"

Class name.

const MODULE: Option<&'static str>

Module name, if any.

fn type_object_raw(py: Python<'_>) -> *mut PyTypeObject

Returns the PyTypeObject instance for this type.

fn type_object_bound(py: Python<'_>) -> Bound<'_, PyType>

Returns the safe abstraction over the type object.

fn is_type_of_bound(object: &Bound<'_, PyAny>) -> bool

Checks if object is an instance of this type or a subclass of this type.

fn is_exact_type_of_bound(object: &Bound<'_, PyAny>) -> bool

Checks if object is an instance of this type.