Struct CpiRedemption 

pub struct CpiRedemption {
    pub payment_date: NaiveDate,
    pub payment_ordinal: i32,
    pub notional: f64,
    pub currency: Currency,
    pub index: String,
    pub lag_months: u32,
    pub base_index: f64,
    pub observation: NaiveDate,
    pub growth_only: bool,
    pub base_date: Option<NaiveDate>,
    pub payoff: Option<RatePayoff>,
}

A CPI coupon leg’s indexed notional: notional · (I(T)/base − 1) where it pays the growth only, or notional · I(T)/base, I(T) the index observed for observation under the index’s lag and interpolation, as a CpiCoupon observes its accrual end.

Fields

payment_date: NaiveDate

The payment date.

payment_ordinal: i32

The payment date as a proleptic-Gregorian day number.

notional: f64

The notional before indexation. Contract data.

currency: Currency

The currency.

index: String

The price index’s registry code.

lag_months: u32

The observation lag, in months.

base_index: f64

The base index level. Contract data.

observation: NaiveDate

The date the index is observed for — the leg’s last accrual end.

growth_only: bool

Whether only the notional’s growth is paid.

base_date: Option<NaiveDate>

The date the base level stands for — the start of the indexation, which a payoff’s annualised strikes are measured from. Needed only by a payoff.

payoff: Option<RatePayoff>

A collar on the indexed notional, or None. Its bounds are annualised zero-coupon rates k: the ratio I(T)/base is held within [(1+k_floor)^τ, (1+k_cap)^τ], τ = ACT/365F(base_date, observation) — a linker’s deflation floor is floor = 0. Still to fix, each bound is a zero-coupon optionlet on the ratio off the index’s CPI vol surface (see crate::marketdata::inflation_vol::CpiVolSurface).

Implementations

impl CpiRedemption

pub fn with_payoff(self, payoff: RatePayoff, base_date: NaiveDate) -> Self

This notional with payoff on its indexed growth, strikes annualised from base_date.

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

What the notional pays per unit of notional — the ratio I(T)/base, less one where only the growth is paid — with its collar, as of as_of: settled on a published observation, otherwise the rate less a zero-coupon call at the cap plus a put at the floor, through the coupon layer’s payoff composition.

Errors

CashflowError::NoIndexForCoupon where curves holds no inflation for the index; CashflowError::MalformedPayoff for a digital or an unanchored strike; CashflowError::PayoffWithoutCpiVols where an option still to fix meets no CPI vols; the curve’s own errors.

Trait Implementations

impl Clone for CpiRedemption

fn clone(&self) -> CpiRedemption

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for CpiRedemption

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

Formats the value using the given formatter.

impl PartialEq for CpiRedemption

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