Struct CpiCoupon 

pub struct CpiCoupon {
    pub accrual_start: NaiveDate,
    pub accrual_end: NaiveDate,
    pub payment_date: NaiveDate,
    pub notional: f64,
    pub fixed_rate: f64,
    pub day_count: DayCountFraction,
    pub accrual: f64,
    pub payment_ordinal: i32,
    pub currency: Currency,
    pub index: String,
    pub lag_months: u32,
    pub base_index: f64,
}

A CPI coupon: notional · rate · tau · I(end)/base, paid on the payment date — a real rate on a notional carried up by a price index.

I(end) is the index observed for the accrual end under the index’s own lag and interpolation — the observation a linker’s coupon and an inflation swap’s ratio make, read through the same seam — a published print first and the inflation curve otherwise. base_index is the contract’s base level, stated on the term sheet, not observed.

Fields

accrual_start: NaiveDate

Accrual start.

accrual_end: NaiveDate

Accrual end, and the date the index is observed for.

payment_date: NaiveDate

Payment date.

notional: f64

The notional before indexation. Contract data.

fixed_rate: f64

The real rate, as a decimal. Contract data.

day_count: DayCountFraction

The accrual day count.

accrual: f64

The accrual year fraction under day_count, evaluated once at build.

payment_ordinal: i32

The payment date as a proleptic-Gregorian day number.

currency: Currency

The coupon’s currency.

index: String

The price index’s registry code, the key its curve and prints are stored under (US-CPI-U, UK-RPI).

lag_months: u32

The observation lag, in months.

base_index: f64

The base index level the ratio is taken against. Contract data.

Trait Implementations

impl Clone for CpiCoupon

fn clone(&self) -> CpiCoupon

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for CpiCoupon

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

Formats the value using the given formatter.

impl PartialEq for CpiCoupon

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