Struct FixingWindow 

pub struct FixingWindow {
    pub start: NaiveDate,
    pub end: NaiveDate,
    pub tau: f64,
}

The window an index’s own rate spans, and the basis it is quoted on.

Not the coupon’s accrual period. A 3M EURIBOR coupon whose adjusted accrual runs 94 days still fixes on the 3M rate: this pins the pair of dates the forward is read between and the year fraction it is divided by, while the coupon’s own accrual tau drives the amount. Built once, curve-free, when the coupon is constructed.

Fields

start: NaiveDate

Where the index’s rate period starts.

end: NaiveDate

Where it ends.

tau: f64

The year fraction the index quotes over, on the index’s own day count.

Trait Implementations

impl Clone for FixingWindow

fn clone(&self) -> FixingWindow

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Copy for FixingWindow

impl Debug for FixingWindow

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

Formats the value using the given formatter.

impl PartialEq for FixingWindow

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