Enum HelperForm 

enum HelperForm {
    SelfDiscounting,
    ProjectionOver(CollateralSpec),
    BasisOver {
        collateral: CollateralSpec,
        base_index: String,
    },
    ProjectionUnder {
        discount: CollateralSpec,
        foreign: CollateralSpec,
    },
    CollateralUnder {
        pay_discount: CollateralSpec,
        pay_projection: Option<String>,
        recv_projection: Option<String>,
    },
}

How a group of helpers solves: where the curve under solve sits, and what it reads.

Variants

SelfDiscounting

The curve discounts and projects itself: a deposit or overnight ladder.

ProjectionOver(CollateralSpec)

A term index’s projection over the held discount for collateral.

BasisOver

A tenor basis: the spread leg’s projection over the held discount and the held base index’s projection.

Fields

collateral: CollateralSpec

base_index: String

ProjectionUnder

An index’s projection over a held discount and a held foreign discount: a non-deliverable swap’s strip, whose conversions read the local currency’s curve under the settlement collateral.

Fields

discount: CollateralSpec

foreign: CollateralSpec

CollateralUnder

A cross-currency basis: the quoted leg’s collateral discount under the held pay discount and both projections.

Fields

pay_discount: CollateralSpec

pay_projection: Option<String>

recv_projection: Option<String>

Implementations

impl HelperForm

fn merged_with(&self, other: &HelperForm) -> Option<HelperForm>

The one form two helpers on one curve agree on: equal forms, or two collateral forms under one pay discount whose projections fill each other in — an FX swap declares none, a basis swap both — else None.

Trait Implementations

impl Clone for HelperForm

fn clone(&self) -> HelperForm

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for HelperForm

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

Formats the value using the given formatter.

impl PartialEq for HelperForm

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

Tests for self and other values to be equal, and is used by ==.

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

Tests for !=. The default implementation is almost always sufficient, and should not be overridden without very good reason.

impl StructuralPartialEq for HelperForm