Struct CmsCoupon 

pub struct CmsCoupon {

    pub accrual_start: NaiveDate,
    pub accrual_end: NaiveDate,
    pub payment_date: NaiveDate,
    pub payment_ordinal: i32,
    pub fixing_date: NaiveDate,
    pub notional: f64,
    pub gearing: f64,
    pub spread: f64,
    pub day_count: DayCountFraction,
    pub accrual: f64,
    pub currency: Currency,
    pub template: String,
    pub tenor: Period,
    pub projection: String,
    pub fixing_key: String,
    pub mean_reversion: f64,
    pub payoff: Option<RatePayoff>,
    pub spread_against: Option<Box<CmsSpreadLeg>>,
}

A CMS coupon: notional · τ · (g · CMS + s), the CMS rate the swap index template at tenor fixes on fixing_date — in advance, by the index’s fixing lag — convexity-adjusted by linear TSR at mean_reversion and paid on payment_date. A payoff caps, floors or digitises the rate as on an IBOR coupon.

It holds the swap index by its codes, resolved when priced: the index is a market-layer type. Its rate needs the discount curve and the swaption smile as well as a projection, so only a source that answers CurveByIndex::cms_rate can project it; a print under fixing_key settles it anywhere.

Fields

accrual_start: NaiveDate

Accrual start.

accrual_end: NaiveDate

Accrual end.

payment_date: NaiveDate

The payment date.

payment_ordinal: i32

The payment date as a proleptic-Gregorian day number.

fixing_date: NaiveDate

The CMS rate’s fixing date.

notional: f64

The notional.

gearing: f64

Multiplier on the CMS rate.

spread: f64

Added to the geared rate, as a decimal.

day_count: DayCountFraction

The accrual day count.

accrual: f64

The accrual year fraction.

currency: Currency

The coupon’s currency.

template: String

The fixed-versus-IBOR swap template the index is quoted on.

tenor: Period

The swap tenor.

projection: String

The projection key of the swap’s floating index — the curve the CMS rate’s forward reads.

fixing_key: String

The key the swap index’s prints are stored under.

mean_reversion: f64

The mean reversion the linear TSR slope is taken at.

payoff: Option<RatePayoff>

An option on the rate g · CMS + s, or None for a plain coupon.

spread_against: Option<Box<CmsSpreadLeg>>

A second swap index whose rate is subtracted, making the observation a spread of two, or None.

Implementations

impl CmsCoupon

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

What the coupon pays when its fixing is published — the rate geared, spread and settled through its payoff — or None while it is still to fix. A fixing before today must be published: see FixingsView::observe.

Errors

A missing historical print; a malformed payoff.

impl CmsCoupon

pub fn on_index( index: &SwapIndex, start: NaiveDate, end: NaiveDate, payment: NaiveDate, notional: f64, gearing: f64, spread: f64, day_count: DayCountFraction, mean_reversion: f64, ) -> Self

A CMS coupon on index accruing from start to end on day_count, paid on payment: its rate fixes the index’s fixing lag before start, as a CmsSwap’s periods do, and is gearing · CMS + spread, convexity-adjusted at mean_reversion.

pub fn on_spread( index: &SwapIndex, minus: &SwapIndex, correlation: impl Into<CmsSpreadCorrelation>, start: NaiveDate, end: NaiveDate, payment: NaiveDate, notional: f64, gearing: f64, spread: f64, day_count: DayCountFraction, mean_reversion: f64, ) -> Self

A CMS spread coupon: gearing · (CMS(index) − CMS(minus)) + spread, both rates fixing on index’s lag before start, their correlation correlation — a contract number, or the market’s mark for the pair.

Trait Implementations

impl Clone for CmsCoupon

fn clone(&self) -> CmsCoupon

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for CmsCoupon

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

Formats the value using the given formatter.

impl PartialEq for CmsCoupon

fn eq(&self, other: &CmsCoupon) -> 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 CmsCoupon