Struct InterpolatedStub 

pub struct InterpolatedStub {
    pub shorter: StubTenor,
    pub longer: StubTenor,
    pub weight: f64,
}

ISDA 2006 §8.3 Linear Interpolation for a stub whose confirmation elects it: the rate is R_short + weight · (R_long − R_short), each rate read from the store where published and otherwise projected over its own window off its own index’s curve.

weight is (D_stub − D_short) / (D_long − D_short) in days, fixed when the coupon is built, and lies in [0, 1]: §8.3 interpolates between the tenors either side of the stub and does not extrapolate.

Fields

shorter: StubTenor

The Designated Maturity next shorter than the stub.

longer: StubTenor

The Designated Maturity next longer than the stub.

weight: f64

The day-count weight on the longer tenor’s rate.

Implementations

impl InterpolatedStub

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

The blended index rate, before gearing and spread, for a stub fixing on fixing_date: R_short + weight · (R_long − R_short), each tenor read from the store where published and otherwise projected over its own window off its own index’s curve.

Errors

CashflowError::InterpolatedStubOnOneCurve where curves is one curve standing in for every index; CashflowError::NoCurveForIndex naming a tenor whose curve it does not hold; a missing historical print or a curve query as for any reset.

pub(crate) fn on_one_curve(&self) -> CashflowError

The refusal of a one-curve valuation, naming the two tenors.

Trait Implementations

impl Clone for InterpolatedStub

fn clone(&self) -> InterpolatedStub

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for InterpolatedStub

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

Formats the value using the given formatter.

impl PartialEq for InterpolatedStub

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