Crate helixrs 

helixrs — a mode-generic fixed-income substrate.

Status: 0.0.1, a pre-release

This is the first cut, handed out for testing and development, and the API changes without notice until 0.1: any name, signature or module path may move between cuts. Cargo treats every 0.0.z version as incompatible with every other, so a dependency is pinned exactly, helixrs = "=0.0.1", and moves deliberately.

What a tester may rely on already: a valuation is bit-identical across the AD modes (the numeric-scalar-modes gate), the Rust and Python surfaces agree member for member (the binding marshals and does not calculate), and the error vocabulary in spellings.txt is the one a caller may copy out of a message. Nothing else is promised yet.

The scalar is the caller’s choice

Nothing in this crate fixes a numeric scalar. Pricing code is written once against crate::xad::Real and instantiated at the call site with the mode that matches the problem’s derivative shape:

Mode	Shape	Used for
f64	no derivatives	value-only pricing
Jet1	one input, one output	the sequential calibration solve
Jet2	second order, one direction	gamma; the P&L explain’s quadratic term, along the whole move and split by axis pair
AReal + tape	many inputs, one output	risk ladders; the calibration Jacobian above REVERSE_FROM pillars
JetK	K inputs per tape-free pass	the calibration Jacobian at or below REVERSE_FROM pillars, and the bond-curve fit

There is no crate-wide scalar alias and no Cargo feature selecting a mode, so one process may price without derivatives and take risk in the same run.

A mode is admitted by implementing the lift seam, which makes it available to every generic body and puts it under the cross-mode value-identity gate; it is used only where an entry point has its derivative shape. JetK is used in exactly two places, and the mode-routing test holds the list: the calibration Jacobian ∂q/∂z (every par quote against every pillar, wanted as a whole matrix) on ladders of at most REVERSE_FROM pillars, and the bond-curve fit’s ∂price/∂β over a form’s coefficients, which is the same shape. Each seeds eight lanes at a time with its own block loop. Eight is measured, not chosen: on a forty-pillar ladder the Jacobian costs +140% of the solve in eight lanes where one lane costs +575%.

Above REVERSE_FROM the Jacobian is routed by size to the reverse mode: one recording of every rung on a tape calibration keeps per thread, read back by vector sweeps in blocks the ADJOINT_BUDGET_BYTES budget admits, so the buffer is bounded and the rungs are never re-recorded. A calibration never nests a recording: with one already open on the thread it takes the eight-lane engine whatever the size, so it runs inside a risk pass unnoticed. Which engine built a ladder is reported on its provenance. The measurement behind the lane count is the LANES table in calibration.rs; the one behind the threshold, and the one a further routing decision should be argued against, is the Jacobian-shape group in benches/mode_crossover.rs (jacobian_ladder_4 through _40 and jacobian_ois_ladder_50): one eight-lane pass wins at four and eight pillars, the sweep from sixteen on, by 1.9× at forty and 3.1× on the overnight ladder.

The market is active; the trade is data

Contract terms — notionals, rates, spreads, strikes — are passive f64. Only market inputs are differentiable: curve parameters, volatility nodes, credit parameters, FX rates, observed fixings, and declared exogenous scalars.

Consequently the trading layer — containers, lenses, scenarios — and the product-construction layer carry no scalar type parameter at all — a book is a book regardless of the mode a valuation runs in.

Curves: storage, view, evaluation

A stored curve holds passive parameters and no AD state. A lift produces a view for one mode, borrowing the storage rather than copying it; the view implements the evaluation trait. Adjoint read-back is a property of the active view, not of each curve family.

Re-exports

pub use crate::analytics::pnl::ExplainLeg;

pub use crate::analytics::pnl::ExplainReport;

pub use crate::analytics::pnl::GammaTerms;

pub use crate::analytics::pnl::LayoutMismatch;

pub use crate::analytics::pnl::MarketDiff;

pub use crate::analytics::pnl::PnlError;

pub use crate::analytics::pnl::PredictedPnl;

pub use crate::analytics::pnl::Published;

pub use crate::analytics::pnl::Reconciliation;

pub use crate::analytics::pnl::ReconciliationRow;

pub use crate::analytics::pnl::ResetPnl;

pub use crate::analytics::pnl::ResetRow;

pub use crate::analytics::pnl::default_order;

pub use crate::analytics::pnl::explain;

pub use crate::analytics::pnl::market_diff;

pub use crate::analytics::pnl::predicted_pnl;

pub use crate::analytics::pnl::reconcile;

pub use crate::analytics::pnl::reset_pnl;

pub use crate::calibration::sabr::SabrCalibrationError;

pub use crate::calibration::sabr::SabrFit;

pub use crate::calibration::sabr::SabrSliceFit;

pub use crate::calibration::sabr::SabrSpec;

pub use crate::calibration::sabr::calibrate_sabr;

pub use crate::calibration::sabr::calibrate_sabr_with_atm;

pub use crate::calibration::sabr::caplet_forwards;

pub use crate::calibration::sabr::swaption_forwards;

pub use crate::calibration::BondRungError;

pub use crate::calibration::Calibrated;

pub use crate::calibration::CalibratedBaseCorrelation;

pub use crate::calibration::CalibratedDensity;

pub use crate::calibration::CalibratedInflation;

pub use crate::calibration::CalibratedSurvival;

pub use crate::calibration::CalibrationError;

pub use crate::calibration::CalibrationOptions;

pub use crate::calibration::HelperSolve;

pub use crate::calibration::JacobianEngine;

pub use crate::calibration::JointCalibration;

pub use crate::calibration::JointCurve;

pub use crate::calibration::QuoteKind;

pub use crate::calibration::QuoteSheet;

pub use crate::calibration::RecipeQuoteError;

pub use crate::calibration::Rung;

pub use crate::calibration::SheetEntry;

pub use crate::calibration::SmoothedCalibration;

pub use crate::calibration::Tolerance;

pub use crate::calibration::bond_rung;

pub use crate::calibration::calibrate;

pub use crate::calibration::calibrate_base_correlation;

pub use crate::calibration::calibrate_cross_currency;

pub use crate::calibration::calibrate_curve_helpers;

pub use crate::calibration::calibrate_inflation;

pub use crate::calibration::calibrate_jointly;

pub use crate::calibration::calibrate_jointly_on;

pub use crate::calibration::calibrate_recipe;

pub use crate::calibration::calibrate_smoothed;

pub use crate::calibration::calibrate_survival;

pub use crate::calibration::calibrate_survival_density;

pub use crate::calibration::calibrate_with;

pub use crate::calibration::check_pillars_ascend;

pub use crate::calibration::recipe_rungs_at;

pub use crate::calibration::rungs_for;

pub use crate::calibration::CapQuote;

pub use crate::calibration::StripScheme;

pub use crate::calibration::strip_caplet_smile;

pub use crate::calibration::strip_caplet_vols;

pub use crate::calibration::strip_overnight_caplet_vols;

pub use crate::cashflows::coupons::AnyCoupon;

pub use crate::cashflows::coupons::CmsCoupon;

pub use crate::cashflows::coupons::CmsSpreadCorrelation;

pub use crate::cashflows::coupons::Collar;

pub use crate::cashflows::coupons::CpiCoupon;

pub use crate::cashflows::coupons::CpiRedemption;

pub use crate::cashflows::coupons::Digital;

pub use crate::cashflows::coupons::DigitalStrike;

pub use crate::cashflows::coupons::Direction;

pub use crate::cashflows::coupons::FixedRateCoupon;

pub use crate::cashflows::coupons::IborCoupon;

pub use crate::cashflows::coupons::MultiResetCoupon;

pub use crate::cashflows::coupons::Observation;

pub use crate::cashflows::coupons::OvernightCoupon;

pub use crate::cashflows::coupons::PayoffError;

pub use crate::cashflows::coupons::RangeAccrualCoupon;

pub use crate::cashflows::coupons::RangeObservation;

pub use crate::cashflows::coupons::RatePayoff;

pub use crate::cashflows::coupons::Redemption;

pub use crate::cashflows::coupons::Reset;

pub use crate::cashflows::coupons::ResetCompounding;

pub use crate::cashflows::coupons::YoyInflationCoupon;

pub use crate::cashflows::legs::Accumulation;

pub use crate::cashflows::legs::Leg;

pub use crate::cashflows::legs::LegTerms;

pub use crate::cashflows::legs::ObservationConventions;

pub use crate::cashflows::legs::PaymentRule;

pub use crate::cashflows::legs::StubRule;

pub use crate::cashflows::legs::accumulated_fixed_leg;

pub use crate::cashflows::legs::accumulated_float_leg;

pub use crate::cashflows::legs::fixed_rate_leg;

pub use crate::cashflows::legs::ibor_leg;

pub use crate::cashflows::legs::ibor_leg_on_index;

pub use crate::cashflows::legs::ibor_leg_with_stubs;

pub use crate::cashflows::legs::multi_reset_leg;

pub use crate::cashflows::legs::overnight_leg;

pub use crate::cashflows::legs::overnight_leg_with;

pub use crate::cashflows::legs::overnight_observations;

pub use crate::cashflows::legs::yoy_inflation_leg;

pub use crate::cashflows::records::CASHFLOW_COLUMNS;

pub use crate::cashflows::records::cashflow_records;

pub use crate::cashflows::records::leg_cashflow_records;

pub use crate::core::scalar::Scalar;

pub use crate::curves::discount::CurveError;

pub use crate::curves::discount::PiecewiseDiscount;

pub use crate::curves::discount::YieldCurve;

pub use crate::curves::fit::FitWeights;

pub use crate::curves::fit::FittedForm;

pub use crate::curves::flat::FlatForward;

pub use crate::curves::spread::RepoSpread;

pub use crate::curves::survival::PiecewiseSurvival;

pub use crate::market::store::DegenerateHub;

pub use crate::market::store::PinnedCurve;

pub use crate::marketdata::future_option_vol::FutureOptionVolSurface;

pub use crate::statics::conventions::Compounding;

pub use crate::statics::conventions::RateConvention;

pub use crate::statics::conventions::SwaptionKind;

pub use crate::curves::family::Curve;

pub use crate::curves::family::Family;

pub use crate::curves::family::Lift;

pub use crate::curves::inflation::Inflation;

pub use crate::curves::inflation::InflationCurve;

pub use crate::curves::inflation::LevelInterpolation;

pub use crate::curves::inflation::PiecewiseInflation;

pub use crate::curves::inflation::lagged_observation;

pub use crate::instruments::asset_swap::AssetSwap;

pub use crate::instruments::asset_swap::AssetSwapError;

pub use crate::instruments::asset_swap::AssetSwapKind;

pub use crate::instruments::asset_swap::CrossCurrencyAssetSwap;

pub use crate::instruments::asset_swap::CrossCurrencyAssetSwapError;

pub use crate::instruments::bond_derivatives::BondFuture;

pub use crate::instruments::bond_derivatives::BondFutureAnalysis;

pub use crate::instruments::bond_derivatives::BondFutureError;

pub use crate::instruments::bond_derivatives::BondFutureOption;

pub use crate::instruments::bond_derivatives::BondFutureOptionDiagnostics;

pub use crate::instruments::bond_derivatives::BondFutureOptionError;

pub use crate::instruments::bond_derivatives::BondFuturePosition;

pub use crate::instruments::bond_derivatives::BondOption;

pub use crate::instruments::bond_derivatives::BondOptionDiagnostics;

pub use crate::instruments::bond_derivatives::BondOptionEngine;

pub use crate::instruments::bond_derivatives::BondOptionError;

pub use crate::instruments::bond_derivatives::BondStrike;

pub use crate::instruments::bond_derivatives::CmeMaturityRounding;

pub use crate::instruments::bond_derivatives::Deliverable;

pub use crate::instruments::bond_derivatives::DeliverableAnalysis;

pub use crate::instruments::bond_derivatives::ExerciseStyle;

pub use crate::instruments::bond_derivatives::PremiumStyle;

pub use crate::instruments::bond_derivatives::RepoTier;

pub use crate::instruments::bond_derivatives::bond_future_option_from_template;

pub use crate::instruments::bond_derivatives::cme_conversion_factor;

pub use crate::instruments::bond_derivatives::eurex_btp_conversion_factor;

pub use crate::instruments::bond_derivatives::eurex_chf_conversion_factor;

pub use crate::instruments::bond_derivatives::eurex_conversion_factor;

pub use crate::instruments::bond_derivatives::ice_gilt_conversion_factor;

pub use crate::instruments::bond_derivatives::weekly_bond_future_option_from_template;

pub use crate::instruments::bonds::linker::AnbimaParcel;

pub use crate::instruments::bonds::linker::AnbimaQuote;

pub use crate::instruments::bonds::linker::MonthObservation;

pub use crate::instruments::bonds::linker::anbima_nominal_value;

pub use crate::instruments::bonds::linker::anbima_price;

pub use crate::instruments::bonds::linker::anbima_yield_from_price;

pub use crate::instruments::bonds::linker::australian_coupon_factor;

pub use crate::instruments::bonds::linker::australian_indexation_factor;

pub use crate::instruments::bonds::linker::australian_price_from_real_yield;

pub use crate::instruments::bonds::linker::australian_real_yield_from_price;

pub use crate::instruments::bonds::linker::invoice;

pub use crate::instruments::bonds::linker::real_price;

pub use crate::instruments::bonds::linker::real_yield;

pub use crate::instruments::bonds::linker::reference_index;

pub use crate::instruments::bonds::linker::street_index_ratio;

pub use crate::instruments::bonds::linker::uk_money_accrued;

pub use crate::instruments::bonds::linker::uk_money_price;

pub use crate::instruments::bonds::linker::uk_money_yield;

pub use crate::instruments::bonds::linker::uk_real_yield_from_money;

pub use crate::instruments::bonds::linker::uk_real_yield_from_money_dirty;

pub use crate::instruments::bonds::zero_coupon::ZeroCouponBond;

pub use crate::instruments::bonds::CallKind;

pub use crate::instruments::bonds::CallPrice;

pub use crate::instruments::bonds::CallYieldError;

pub use crate::instruments::bonds::Callability;

pub use crate::instruments::bonds::CallableBond;

pub use crate::instruments::bonds::FixedRateBond;

pub use crate::instruments::bonds::FloatingRateNote;

pub use crate::instruments::bonds::InflationLinkedBond;

pub use crate::instruments::bonds::SpreadSolveError;

pub use crate::instruments::bonds::YieldMoments;

pub use crate::instruments::bonds::YieldSolveError;

pub use crate::instruments::bonds::clean_price;

pub use crate::instruments::bonds::convexity;

pub use crate::instruments::bonds::curve_yield_at;

pub use crate::instruments::bonds::dirty_price;

pub use crate::instruments::bonds::dv01;

pub use crate::instruments::bonds::forward_price_with;

pub use crate::instruments::bonds::g_spread;

pub use crate::instruments::bonds::i_spread;

pub use crate::instruments::bonds::ise_simple_yield;

pub use crate::instruments::bonds::japanese_simple_price;

pub use crate::instruments::bonds::japanese_simple_yield;

pub use crate::instruments::bonds::macaulay_duration;

pub use crate::instruments::bonds::modified_duration;

pub use crate::instruments::bonds::money_duration;

pub use crate::instruments::bonds::money_dv01;

pub use crate::instruments::bonds::pv_weighted_time;

pub use crate::instruments::bonds::quoted_clean_price;

pub use crate::instruments::bonds::quoted_yield;

pub use crate::instruments::bonds::risky_value;

pub use crate::instruments::bonds::spread_over_curve;

pub use crate::instruments::bonds::yield_from_dirty_price;

pub use crate::instruments::bonds::yield_moments;

pub use crate::instruments::bonds::z_spread_on_curve;

pub use crate::instruments::cap_floor::CapFloorError;

pub use crate::instruments::cap_floor::CapFloorKind;

pub use crate::instruments::cap_floor::InterestRateCapFloor;

pub use crate::instruments::cpi_cap_floor::ZeroCouponInflationCapFloor;

pub use crate::instruments::credit::AccrualOnDefault;

pub use crate::instruments::credit::BasketCorrelation;

pub use crate::instruments::credit::CdoTranche;

pub use crate::instruments::credit::CdsDiagnostics;

pub use crate::instruments::credit::CdsOptionStyle;

pub use crate::instruments::credit::CdsStrikeType;

pub use crate::instruments::credit::CreditDefaultSwap;

pub use crate::instruments::credit::CreditDefaultSwapOption;

pub use crate::instruments::credit::CreditDefaultSwapOptionError;

pub use crate::instruments::credit::CreditError;

pub use crate::instruments::credit::CreditEvent;

pub use crate::instruments::credit::CreditLinkedNote;

pub use crate::instruments::credit::DefaultPaymentTime;

pub use crate::instruments::credit::IndexCreditDefaultSwap;

pub use crate::instruments::credit::IndexSettlement;

pub use crate::instruments::credit::NthToDefaultSwap;

pub use crate::instruments::credit::TrancheCopula;

pub use crate::instruments::credit::TrancheMark;

pub use crate::instruments::credit::TrancheRecovery;

pub use crate::instruments::credit::TrancheSettlement;

pub use crate::instruments::credit_linked::CreditLinkedSwap;

pub use crate::instruments::credit_linked::CreditLinkedSwapError;

pub use crate::instruments::credit_linked::LegRole;

pub use crate::instruments::credit_linked::RoleLeg;

pub use crate::instruments::curve_pin::CurvePin;

pub use crate::instruments::curve_pin::CurveReading;

pub use crate::instruments::equity::Barrier;

pub use crate::instruments::equity::EquityOption;

pub use crate::instruments::equity::EquityOptionError;

pub use crate::instruments::fee::Fee;

pub use crate::instruments::financing::BasketConstituent;

pub use crate::instruments::financing::BondBasket;

pub use crate::instruments::financing::BondForward;

pub use crate::instruments::financing::BondTotalReturnSwap;

pub use crate::instruments::financing::EquityTotalReturnSwap;

pub use crate::instruments::financing::FinancingError;

pub use crate::instruments::financing::StrikeQuote;

pub use crate::instruments::fx::FxError;

pub use crate::instruments::fx::FxForward;

pub use crate::instruments::fx::FxOption;

pub use crate::instruments::fx::FxOptionDiagnostics;

pub use crate::instruments::fx::FxSwap;

pub use crate::instruments::fx::Settlement;

pub use crate::instruments::fx::Strike;

pub use crate::instruments::loan::Amortisation;

pub use crate::instruments::loan::CallableLoan;

pub use crate::instruments::loan::Loan;

pub use crate::instruments::pik::Accretion;

pub use crate::instruments::pik::Capitalisation;

pub use crate::instruments::pik::ContractualAccretion;

pub use crate::instruments::pik::PaymentInKindBond;

pub use crate::instruments::pik::PikError;

pub use crate::instruments::rates::CrossCurrencyError;

pub use crate::instruments::rates::CrossCurrencyLeg;

pub use crate::instruments::rates::CrossCurrencySwap;

pub use crate::instruments::rates::ForwardRateAgreement;

pub use crate::instruments::rates::MoneyMarketDeposit;

pub use crate::instruments::rates::OvernightIndexedSwap;

pub use crate::instruments::rates::RateFuture;

pub use crate::instruments::rates::RateFutureError;

pub use crate::instruments::rates::TenorBasisSwap;

pub use crate::instruments::rates::VanillaSwap;

pub use crate::instruments::rates::YoyInflationSwap;

pub use crate::instruments::rates::ZeroCouponInflationSwap;

pub use crate::instruments::rates::ZeroCouponSwap;

pub use crate::instruments::repack::RepackEngine;

pub use crate::instruments::repack::RepackError;

pub use crate::instruments::repack::RepackNote;

pub use crate::instruments::repack::RepackRole;

pub use crate::instruments::repack::ValuationTrigger;

pub use crate::instruments::repack::Waterfall;

pub use crate::instruments::repo::CouponTreatment;

pub use crate::instruments::repo::OpenRepo;

pub use crate::instruments::repo::Repo;

pub use crate::instruments::repo::RepoAmount;

pub use crate::instruments::repo::RepoError;

pub use crate::instruments::repo::RepoMargin;

pub use crate::instruments::repo::RepoRate;

pub use crate::instruments::repo::RepoSide;

pub use crate::instruments::repo::RepoTerms;

pub use crate::instruments::repo::SecuritiesLoan;

pub use crate::instruments::repo::TriPartyAllocation;

pub use crate::instruments::repo::TriPartyRepo;

pub use crate::instruments::straddle::Straddle;

pub use crate::instruments::straddle::StraddleError;

pub use crate::instruments::structured::StructuredNote;

pub use crate::instruments::structured::StructuredNoteError;

pub use crate::instruments::swaptions::BermudanSwaption;

pub use crate::instruments::swaptions::EuropeanSwaption;

pub use crate::instruments::swaptions::SwaptionEngine;

pub use crate::instruments::swaptions::SwaptionError;

pub use crate::instruments::swaptions::SwaptionSettlement;

pub use crate::instruments::swaptions::SwaptionUnderlying;

pub use crate::instruments::swaptions::expiry_years;

pub use crate::instruments::yoy_cap_floor::YoyInflationCapFloor;

pub use crate::instruments::AnyInstrument;

pub use crate::instruments::NotTheProduct;

pub use crate::market::bond_readings::BondReadingError;

pub use crate::market::bond_readings::accreted_face;

pub use crate::market::bond_readings::accreted_redemption;

pub use crate::market::bond_readings::bond_future_option_diagnostics;

pub use crate::market::bond_readings::bond_option_diagnostics;

pub use crate::market::bond_readings::callable_oas;

pub use crate::market::bond_readings::capitalisations;

pub use crate::market::bond_readings::clean_price_at_oas;

pub use crate::market::bond_readings::discount_margin;

pub use crate::market::bond_readings::effective_risk;

pub use crate::market::bond_readings::fair_margin;

pub use crate::market::bond_readings::forward_price;

pub use crate::market::bond_readings::note_dirty_price;

pub use crate::market::bond_readings::note_z_spread;

pub use crate::market::bond_readings::package_value;

pub use crate::market::bond_readings::repo_margin;

pub use crate::market::bond_readings::settlement_date;

pub use crate::market::bond_readings::simple_margin;

pub use crate::market::bond_readings::spread_duration;

pub use crate::market::bond_readings::yield_to_call;

pub use crate::market::bond_readings::yield_to_maturity_scenario;

pub use crate::market::bond_readings::yield_to_worst;

pub use crate::market::bond_readings::z_spread;

pub use crate::market::bond_readings::zero_coupon_quotes;

pub use crate::market::cms::CmsSwap;

pub use crate::market::cms::SwapIndex;

pub use crate::market::context::CollateralSpec;

pub use crate::market::context::CrisisParameters;

pub use crate::market::context::CrossCurrencyDynamics;

pub use crate::market::context::GaussianIntensity;

pub use crate::market::context::HullWhiteParameters;

pub use crate::market::context::Priceable;

pub use crate::market::context::PricingError;

pub use crate::market::context::PricingRiskFactors;

pub use crate::market::context::PricingView;

pub use crate::market::context::RiskFactors;

pub use crate::market::context::SigmaTerm;

pub use crate::market::context::credit_crisis_default_label;

pub use crate::market::context::credit_crisis_jump_mean_label;

pub use crate::market::context::credit_crisis_rate_label;

pub use crate::market::context::credit_intensity_mean_reversion_label;

pub use crate::market::context::credit_intensity_vol_label;

pub use crate::market::context::credit_rate_correlation_label;

pub use crate::market::context::fx_credit_correlation_label;

pub use crate::market::context::fx_rate_correlation_label;

pub use crate::market::context::hull_white_mean_reversion_label;

pub use crate::market::context::hull_white_sigma_label;

pub use crate::market::context::hull_white_sigma_piece_label;

pub use crate::market::context::parse_hull_white_sigma_piece_label;

pub use crate::market::context::rate_rate_correlation_label;

pub use crate::market::context::swaption_normal_vol_label;

pub use crate::market::pricers::CdsOptionValue;

pub use crate::market::pricers::IndexIntrinsic;

pub use crate::market::pricers::IndexSkew;

pub use crate::market::pricers::LatticeMoments;

pub use crate::market::pricers::callable_oas_with;

pub use crate::market::pricers::cds_option;

pub use crate::market::pricers::clean_price_at_oas_with;

pub use crate::market::pricers::fair_forward_rate;

pub use crate::market::pricers::fair_margin_with;

pub use crate::market::pricers::fra_settlement;

pub use crate::market::pricers::futures_convexity;

pub use crate::market::pricers::futures_price;

pub use crate::market::pricers::index_intrinsic;

pub use crate::market::pricers::index_skew;

pub use crate::market::pricers::note_z_spread_with;

pub use crate::market::pricers::z_spread_with;

pub use crate::market::records::instrument_cashflow_records;

pub use crate::market::records::refuses_a_cashflow_table;

pub use crate::market::risk::AssetClass;

pub use crate::market::risk::AxisSet;

pub use crate::market::risk::CurveId;

pub use crate::market::risk::MarketInputId;

pub use crate::market::risk::QuantityKind;

pub use crate::market::risk::RiskAxis;

pub use crate::market::risk::RiskEntry;

pub use crate::market::risk::RiskError;

pub use crate::market::risk::RiskVector;

pub use crate::market::risk::VolSurfaceId;

pub use crate::market::source::CalendarSource;

pub use crate::market::source::DataSource;

pub use crate::market::source::Demand;

pub use crate::market::source::FetchReport;

pub use crate::market::source::FxSpot;

pub use crate::market::source::Gap;

pub use crate::market::source::MarketData;

pub use crate::market::source::MarketDataSource;

pub use crate::market::source::RecipeAsk;

pub use crate::market::source::RecipeSource;

pub use crate::market::source::SnapshotError;

pub use crate::market::source::SourceError;

pub use crate::market::source::StripKey;

pub use crate::market::source::StripQuotes;

pub use crate::market::source::Unresolved;

pub use crate::market::source::set_data_source;

pub use crate::market::store::Diagnostics;

pub use crate::market::store::LiftedMarket;

pub use crate::market::store::MarketContext;

pub use crate::market::store::MarketView;

pub use crate::market::store::ProjectionKey;

pub use crate::market::store::SigmaPin;

pub use crate::market::store::npv;

pub use crate::market::store::risk_with;

pub use crate::marketdata::MarketDataError;

pub use crate::marketdata::base_correlation::BaseCorrelation;

pub use crate::marketdata::base_correlation::BaseCorrelationError;

pub use crate::marketdata::cms_spread_correlation::CmsSpreadCorrelationCurve;

pub use crate::marketdata::cms_spread_correlation::CmsSpreadCorrelationView;

pub use crate::marketdata::credit_vol::CreditVolError;

pub use crate::marketdata::credit_vol::CreditVolSurface;

pub use crate::marketdata::credit_vol::CreditVolView;

pub use crate::marketdata::fx_vol::DeltaConvention;

pub use crate::marketdata::fx_vol::DeltaQuote;

pub use crate::marketdata::fx_vol::FxVolError;

pub use crate::marketdata::fx_vol::FxVolSmile;

pub use crate::marketdata::fx_vol::FxVolSurface;

pub use crate::marketdata::inflation_vol::CpiVolSurface;

pub use crate::marketdata::inflation_vol::InflationVolView;

pub use crate::marketdata::inflation_vol::YoyVolSurface;

pub use crate::marketdata::rate_vol::RateSmile;

pub use crate::marketdata::rate_vol::RateSmileView;

pub use crate::marketdata::rate_vol::RateVolError;

pub use crate::marketdata::rate_vol::RateVolSurface;

pub use crate::marketdata::rate_vol::RateVolView;

pub use crate::marketdata::rate_vol::StrikeAxis;

pub use crate::marketdata::rate_vol::VolConvention;

pub use crate::marketdata::sabr::SabrParameter;

pub use crate::marketdata::sabr::SabrRegistry;

pub use crate::marketdata::sabr::SabrVolSurface;

pub use crate::marketdata::sabr::SabrVolView;

pub use crate::models::credit::Copula;

pub use crate::models::credit::RecoveryModel;

pub use crate::models::credit::basket_survival_probability;

pub use crate::models::credit::expected_tranche_loss;

pub use crate::models::credit::inv_norm_cdf;

pub use crate::models::credit::norm_cdf;

pub use crate::models::fx_option::DeltaError;

pub use crate::models::fx_option::atm_delta_neutral_strike;

pub use crate::models::fx_option::delta;

pub use crate::models::fx_option::strike_from_delta;

pub use crate::models::hw_calibration::CalibratedSigma;

pub use crate::models::hw_calibration::InstrumentFit;

pub use crate::models::hw_calibration::SigmaShape;

pub use crate::models::hw_calibration::StripPoint;

pub use crate::models::hw_calibration::calibrate_and_pin;

pub use crate::models::hw_calibration::calibrate_hull_white;

pub use crate::models::hw_calibration::calibrate_hull_white_to_strip;

pub use crate::models::hw_calibration::market_vega;

pub use crate::models::hw_calibration::strip_from_callable;

pub use crate::models::lattice::DiscretizedAsset;

pub use crate::models::lattice::HullWhiteLattice;

pub use crate::models::lattice::TimeGrid;

pub use crate::models::lattice::compounded_oas;

pub use crate::models::repack_gap::GapCharge;

pub use crate::models::repack_gap::GapRow;

pub use crate::models::repack_gap::repack_gap;

pub use crate::models::repack_sim::GapLegs;

pub use crate::models::repack_sim::GapProfileRow;

pub use crate::models::repack_sim::SimulatedGap;

pub use crate::models::repack_sim::SimulationSettings;

pub use crate::models::repack_sim::simulate_repack_gap;

pub use crate::models::repack_sim::simulate_repack_gap_risk;

pub use crate::models::sabr::SabrError;

pub use crate::models::sabr::SabrFormula;

pub use crate::models::sabr::SabrParams;

pub use crate::models::sabr::alpha_from_atm;

pub use crate::models::sabr::sabr_vol;

pub use crate::models::short_rate::HullWhite;

pub use crate::models::short_rate::SolvedParameter;

pub use crate::models::short_rate::coupon_bond_option;

pub use crate::models::short_rate::discount_bond_affine;

pub use crate::models::short_rate::hull_white_compounded_convexity_exponent;

pub use crate::models::short_rate::hull_white_convexity_bias;

pub use crate::models::short_rate::hull_white_convexity_exponent;

pub use crate::models::short_rate::instantaneous_forward;

pub use crate::models::short_rate::payer_swaption;

pub use crate::models::short_rate::receiver_swaption;

pub use crate::models::short_rate::zero_bond_option;

pub use crate::products::FutureContract;

pub use crate::products::FxSwapQuote;

pub use crate::products::Locator;

pub use crate::products::MeetingLocator;

pub use crate::products::ProductBuilder;

pub use crate::products::ProductFamily;

pub use crate::products::RungBuildError;

pub use crate::products::Side;

pub use crate::products::SideParseError;

pub use crate::products::SwapLegsError;

pub use crate::products::SwapTemplateArg;

pub use crate::products::Termination;

pub use crate::products::TerminationParseError;

pub use crate::products::WindowEnd;

pub use crate::products::XccyTemplateArg;

pub use crate::products::cross_currency_rungs;

pub use crate::products::deposit_rung;

pub use crate::products::fra_rung;

pub use crate::products::future_rung;

pub use crate::products::fx_swap_rung;

pub use crate::products::market_data_needs;

pub use crate::products::meeting_overnight_swap;

pub use crate::products::meeting_rung;

pub use crate::products::meeting_window;

pub use crate::products::par_rungs;

pub use crate::products::swap_builder_on_index;

pub use crate::products::swap_builder_on_overnight_template;

pub use crate::products::swap_builder_on_template;

pub use crate::products::swap_builder_on_tenor;

pub use crate::products::swap_dates_from_tenor;

pub use crate::products::swap_from_legs;

pub use crate::products::swap_index_code;

pub use crate::products::tenor_basis_rung;

pub use crate::products::turn_rung;

pub use crate::products::window_rung;

pub use crate::statics::credit_identity::CreditCurveId;

pub use crate::statics::credit_identity::CreditIdParseError;

pub use crate::statics::credit_identity::CreditIndexId;

pub use crate::statics::credit_identity::DocClause;

pub use crate::statics::credit_identity::ReferenceEntity;

pub use crate::statics::listed_future::FuturesExchange;

pub use crate::statics::listed_future::ListedFutureId;

pub use crate::statics::listed_future::ListedFutureIdError;

pub use crate::statics::money::Currency;

pub use crate::statics::securities::Seniority;

pub use crate::statics::securities::ExDivDayType;

pub use crate::statics::securities::ExDivRule;

pub use crate::statics::securities::PriceBasis;

pub use crate::statics::templates::registry::TemplateError;

pub use crate::statics::templates::registry::template;

pub use crate::trading::presets;

pub use crate::cashflows::adjustments::LagAdjustment;

pub use crate::curves::interp::Interpolation;

pub use crate::curves::spread::FlatSpread;

pub use crate::curves::spread::PiecewiseSpread;

pub use crate::curves::survival::DensitySurvival;

pub use crate::curves::survival::FlatHazard;

pub use crate::curves::survival::ScaledSurvival;

pub use crate::curves::survival::Survival;

pub use crate::marketdata::fixings::FixingHistory;

pub use crate::marketdata::fixings::FixingKey;

pub use crate::marketdata::fixings::FixingStore;

pub use crate::marketdata::fx::CurrencyPair;

pub use crate::marketdata::fx::FxRates;

pub use crate::products::nds_rung;

pub use crate::statics::calc_methods::LinkerConvention;

pub use crate::statics::calc_methods::NoSingleBasis;

pub use crate::statics::calc_methods::YieldKernel;

pub use crate::statics::calc_methods::YieldQuoteConvention;

pub use crate::statics::conventions::AccrualCompounding;

pub use crate::statics::conventions::BusinessDayConvention;

pub use crate::statics::conventions::DateGenerationRule;

pub use crate::statics::conventions::Frequency;

pub use crate::statics::conventions::RollConvention;

pub use crate::statics::conventions::StubPeriodType;

pub use crate::statics::conventions::YieldBasis;

pub use crate::statics::daycounts::DayCountFraction;

pub use crate::statics::daycounts::PeriodContext;

pub use crate::statics::templates::registry as template_registry;

pub use crate::statics::schedules::Schedule;

pub use crate::statics::schedules::ScheduleError;

pub use crate::statics::templates::AnyTemplate;

pub use crate::statics::templates::FutureTemplate;

pub use crate::statics::templates::MeetingNode;

pub use crate::statics::time::period::ForwardTenor;

pub use crate::statics::time::period::Period;

pub use crate::statics::time::period::PeriodEnum;

pub use crate::curves::binary::FxImplied;

pub use crate::curves::fit::BondFitRow;

pub use crate::curves::fit::fit_bond_curve;

pub use crate::curves::step::StepForward;

pub use crate::curves::survival::SurvivalProbability;

pub use crate::market::cms::CmsRate;

pub use crate::market::cms::cms_coupon_rate;

pub use crate::market::cms::cms_leg;

pub use crate::market::cms::cms_option;

pub use crate::market::cms::cms_rate;

pub use crate::market::cms::cms_spread_coupon_rate;

pub use crate::market::cms::cms_spread_leg;

pub use crate::market::cms::cms_spread_option;

pub use crate::market::frame::Aggregation;

pub use crate::market::frame::Basis;

pub use crate::market::frame::Column;

pub use crate::market::frame::Factor;

pub use crate::market::frame::Label;

pub use crate::market::frame::Records;

pub use crate::market::frame::RiskFrame;

pub use crate::market::frame::Scale;

pub use crate::market::frame::Scales;

pub use crate::market::frame::reading_records;

pub use crate::models::analytic::BarrierKind;

pub use crate::models::analytic::OptionKind;

pub use crate::models::analytic::bachelier;

pub use crate::models::analytic::barrier_option;

pub use crate::models::analytic::black76;

pub use crate::models::analytic::black76_implied_vol;

pub use crate::statics::imm::cds_standard_maturity;

pub use crate::statics::imm::cds_standard_maturity_months;

pub use crate::statics::imm::next_cds_imm_date;

pub use crate::statics::imm::prior_cds_imm_date;

pub use crate::statics::meetings::CentralBank;

pub use crate::statics::meetings::KnotKind;

pub use crate::statics::meetings::MeetingId;

pub use crate::statics::meetings::MeetingSchedule;

pub use crate::statics::meetings::TurnPeriod;

pub use crate::statics::meetings::TurnSchedule;

pub use crate::statics::recipes::CurveRecipe;

pub use crate::statics::recipes::CurveRecipes;

pub use crate::statics::recipes::ProjectionSpec;

pub use crate::statics::recipes::RecipeSpec;

pub use crate::statics::recipes::RecipeSpecError;

pub use crate::statics::recipes::WindowSpec;

pub use crate::statics::templates::credit::CdsTemplate;

pub use crate::statics::templates::credit::CreditIndexFamily;

pub use crate::statics::templates::credit::CreditIndexTemplate;

pub use crate::statics::templates::credit::cds_standard;

pub use crate::statics::templates::credit::cdx_na_ig;

pub use crate::statics::templates::credit::itraxx_europe;

pub use crate::trading::Book;

pub use crate::trading::BookPnlError;

pub use crate::trading::BumpedKind;

pub use crate::trading::CreditBumpError;

pub use crate::trading::FxMode;

pub use crate::trading::How;

pub use crate::trading::Lens;

pub use crate::trading::Measure;

pub use crate::trading::Preset;

pub use crate::trading::Request;

pub use crate::trading::Scenario;

pub use crate::trading::ScenarioError;

pub use crate::trading::ScenarioLeg;

pub use crate::trading::Selector;

pub use crate::trading::Sensitivity;

pub use crate::trading::Shift;

pub use crate::trading::ShiftType;

pub use crate::trading::SmileComponent;

pub use crate::trading::Trade;

pub use crate::trading::TrancheInput;

pub use crate::trading::correlation_sensitivities;

pub use crate::trading::npv_under;

pub use crate::trading::quote_delta;

pub use crate::trading::quote_held_recovery_sensitivities;

pub use crate::trading::recovery_sensitivities;

pub use crate::trading::report;

pub use crate::trading::report_records;

pub use crate::statics::indices::registry::codes;

pub use crate::statics::indices::registry::register;

pub use crate::statics::indices::AnyIndex;

pub use crate::statics::indices::FxIndex;

pub use crate::statics::indices::IborIndex;

pub use crate::statics::indices::OvernightIndex;

pub use crate::statics::indices::PriceIndex;

pub use crate::statics::calendars::BusinessCenter;

pub use crate::statics::calendars::Calendar;

pub use crate::statics::calendars::CalendarAmendError;

pub use crate::statics::calendars::CalendarIngestError;

pub use crate::statics::calendars::CalendarParseError;

pub use crate::statics::calendars::CalendarSpec;

pub use crate::statics::calendars::DataCalendar;

pub use crate::statics::calendars::JointCalendar;

pub use crate::statics::calendars::JointCalendarRule;

pub use crate::statics::calendars::NullCalendar;

pub use crate::statics::calendars::SettlementLag;

pub use crate::statics::calendars::SettlementLagUnit;

pub use crate::statics::calendars::WeekendsOnly;

pub use crate::statics::calendars::add_period;

pub use crate::statics::calendars::amended;

pub use crate::statics::calendars::ingest_calendar;

pub use crate::statics::calendars::ingest_calendars;

pub use crate::statics::calendars::ingested_calendars;

pub use crate::statics::calendars::last_day_of_month;

pub use crate::statics::calendars::lookup as calendar;

pub use crate::statics::imm::ImmCycle;

pub use crate::statics::imm::ImmDay;

pub use crate::statics::imm::imm_code_of;

pub use crate::statics::imm::imm_code_to_dates;

pub use crate::statics::imm::imm_date;

pub use crate::statics::imm::imm_date_on;

pub use crate::statics::imm::is_imm_date;

pub use crate::statics::imm::next_imm_date;

pub use crate::statics::imm::prior_imm_date;

pub use crate::statics::indices::registry::lookup as index;

pub use crate::statics::time::day_of_week::DayOfWeek;

pub use crate::statics::time::day_of_week::next_weekday;

pub use crate::statics::time::day_of_week::nth_weekday;

pub use crate::statics::counterparty::Counterparties;

pub use crate::statics::counterparty::Counterparty;

pub use crate::statics::templates::spot_effective_date;

pub use crate::statics::templates::xccy::CsaSpec;

pub use crate::statics::templates::xccy::IborProjection;

pub use crate::statics::templates::xccy::XccyTemplateError;

Modules

analytics

Measures and attribution: what a book’s value is made of, and why it moved.

calibration

Curve calibration: recovering pillars from quoted instruments.

cashflows

Cashflows: what a trade pays, and when.

core

Cross-cutting primitives with no domain content.

curves

Discount curves: stored passively, evaluated in a mode.

fpml

An FpML 5 confirmation-view reader: a trade document into a helixio instrument, with the cashflows the document itself states kept beside it.

instruments

Instrument types: what a trade is, with no opinion on how it is valued.

market

The pricing seam: what a product declares it needs, and what it is handed.

marketdata

MarketContext data that sits below curves: observed fixings and FX spot rates.

models

Pricing models: closed-form and short-rate engines.

products

Product construction: turning a template and a few trade terms into an instrument, and saying what market data it will need.

statics

L1 reference data — pure value types, no state.

trading

Trading containers, measures, lenses and scenarios.

xad

The differentiation modes the generic entry points instantiate. helixrs defines them itself (the arithmetic of xad-rs 1.0.0), so a caller names them from here and needs no AD dependency of its own.

Structs

VocabularyParseError

Error parsing a closed vocabulary from a string.

Functions

version

The version of this crate, as declared in Cargo.toml.