Enum AnyCoupon

#[non_exhaustive]pub enum AnyCoupon {
    Fixed(FixedRateCoupon),
    Ibor(IborCoupon),
    Overnight(OvernightCoupon),
    Redemption(Redemption),
    MultiReset(MultiResetCoupon),
    Cpi(CpiCoupon),
    RangeAccrual(RangeAccrualCoupon),
    CpiRedemption(CpiRedemption),
    Cms(CmsCoupon),
    YoyInflation(YoyInflationCoupon),
}

Expand description

The closed coupon set.

Variants (Non-exhaustive)§

This enum is marked as non-exhaustive

Non-exhaustive enums could have additional variants added in future. Therefore, when matching against variants of non-exhaustive enums, an extra wildcard arm must be added to account for any future variants.

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Implementations§

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impl AnyCoupon

pub fn kind(&self) -> &'static str

The variant’s name — the word a cashflow table’s kind column carries.

Here rather than in the binding, which spelled the same four words out again. A word that names a variant is the core’s vocabulary, and a second copy of it is a second place to forget when a shape is added — which is exactly what #[non_exhaustive] stops the compiler from catching across the crate boundary.

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impl AnyCoupon

pub fn payment_date(&self) -> NaiveDate

The date this coupon pays on.

pub fn payment_ordinal(&self) -> i32

The payment date as a proleptic-Gregorian day number, stored at build — what the leg walk hands a curve.

pub fn currency(&self) -> Currency

The currency this coupon pays in.

pub fn notional(&self) -> f64

The notional this coupon accrues on. A redemption accrues on nothing.

pub fn amount(&self) -> Option<f64>

The amount this flow pays, where the contract alone fixes it.

Some for a redemption — its stated amount — and for a fixed coupon, whose notional, rate and year fraction are all contract data. None for a coupon whose rate must be fixed or projected, because zero would be indistinguishable from a coupon that genuinely pays nothing; the reading that projects is cashflow_records, which takes a market for exactly that reason.

A redemption’s amount used to be unreachable: it is not a notional, so notional answers 0.0 for one — rightly — and no other reading existed. Callers were also writing this crate’s own formula out by hand to get a fixed coupon’s amount.

pub fn accrual_start(&self) -> Option<NaiveDate>

The date accrual begins. A redemption accrues over nothing and has none.

pub fn accrual_end(&self) -> Option<NaiveDate>

The date accrual ends. A redemption accrues over nothing and has none.

pub fn fixing_date(&self) -> Option<NaiveDate>

The date this coupon’s rate is fixed on, for a coupon whose rate is fixed on one date.

A fixed coupon’s rate was agreed on the term sheet, not observed; an overnight coupon observes a strip of dates rather than one, so it reports none here and its observations are the strip; a redemption has no rate at all.

pub fn contract_rate(&self) -> Option<f64>

The rate written on the contract, for a coupon that carries one.

Passive by construction — this is the term sheet’s number, not a projection. A floating coupon has none, because what it will pay is a market question; nor has a CPI coupon, whose written rate is paid on an indexed notional and so is not the rate it accrues.

pub fn index(&self) -> Option<&str>

The projection key this coupon resets against, or None for a coupon that carries its own rate.

The key a market is keyed by. It is the registry code the index wrote onto the coupon at build — the same string IborIndex::code documents as “the key a market stores the index’s projection curve and fixings under, and the one a coupon names”, and the same one AnyCoupon::rate already reads this coupon’s fixings under. So a walk holding several curves can ask each coupon which one it wants rather than being told once for a whole table — which is what lets a two-index product’s legs each project off their own curve.

A fixed coupon and a redemption name nothing: neither resets. A CPI coupon names a price index, which is no projection curve’s key: see price_index.

pub fn price_index(&self) -> Option<&str>

The price index a CPI coupon is scaled by — the inflation key a leg holding it declares — or None for any other coupon.

pub fn indices(&self) -> Vec<&str>

Every index the coupon reads a rate of: its own, and for a stub electing ISDA 2006 §8.3 Linear Interpolation — a term coupon’s, or a multi-reset coupon’s final reset — the two tenors it blends — what a leg holding it has to declare a curve for. Each index once, in the order read.

pub fn day_count(&self) -> Option<DayCountFraction>

The basis the coupon accrues on, or None for one that accrues over nothing.

A caller composing a leg out of an instrument’s own coupons needs this: without it the accrual can only be guessed, and a guess that is wrong prices a different trade.

pub fn year_fraction(&self) -> f64

The accrual year fraction, as stored at build. A redemption accrues over nothing.

pub fn rate<R: Scalar>( &self, fwd: Option<&dyn YieldCurve<R>>, fixings: &FixingsView<'_, R>, as_of: NaiveDate, ) -> Result<R, CashflowError>

The coupon rate in mode R, as of as_of.

A reset dated on or before as_of has already happened, so it is read from fixings and must be there: a historical reset that was never published is reported, not quietly projected, because projecting one prices a number the market never printed. A reset after as_of projects off fwd.

§Errors

CashflowError::MarketData for a missing historical fixing; CashflowError::Curve for a curve query, or where a coupon needs a projection and no forward curve was supplied.

pub fn rate_with<R: Scalar, C: CurveByIndex<R> + ?Sized>( &self, curves: &C, fixings: &FixingsView<'_, R>, as_of: NaiveDate, ) -> Result<R, CashflowError>

The coupon’s rate with each index it reads priced off its own curve.

The same as rate for every coupon but a stub electing ISDA 2006 §8.3 Linear Interpolation, which reads two Designated Maturities: each from the store where its print is published and otherwise projected over its own window off its own index’s curve, blended R_short + weight · (R_long − R_short). Gearing and spread apply to the blend.