Struct MultiResetCoupon 

pub struct MultiResetCoupon {

    pub accrual_start: NaiveDate,
    pub accrual_end: NaiveDate,
    pub payment_date: NaiveDate,
    pub payment_ordinal: i32,
    pub notional: f64,
    pub gearing: f64,
    pub spread: f64,
    pub index: String,
    pub day_count: DayCountFraction,
    pub accrual: f64,
    pub currency: Currency,
    pub resets: Vec<Reset>,
    pub method: ResetCompounding,
    pub stub: Option<InterpolatedStub>,
}

A floating coupon that resets several times and pays once: each reset’s term rate, geared, combined over the accrual under a ResetCompounding method — the CAD, HKD or 3M-in-6M leg that pays less often than it fixes.

Each reset follows the one fixing rule (FixingsView::observe) and otherwise projects the simple forward over its own index window, as an IborCoupon does.

Fields

accrual_start: NaiveDate

Accrual start.

accrual_end: NaiveDate

Accrual end.

payment_date: NaiveDate

Payment date.

payment_ordinal: i32

The payment date as a proleptic-Gregorian day number.

notional: f64

The notional the coupon accrues on.

gearing: f64

Multiplicative gearing on each reset’s rate.

spread: f64

Additive spread, as a decimal; how it enters is the method’s.

index: String

The index the resets fix on.

day_count: DayCountFraction

The accrual day count.

accrual: f64

Σ τᵢ over the resets — the accrual the coupon’s rate is quoted over.

currency: Currency

The coupon’s currency.

resets: Vec<Reset>

The resets, in order, tiling the accrual.

method: ResetCompounding

How the resets combine.

stub: Option<InterpolatedStub>

The ISDA 2006 §8.3 blend the final reset reads, where the coupon was built under StubRule::Interpolated and its final sub-period is one the index’s own window does not fit; None where every reset reads its own window.

Implementations

impl MultiResetCoupon

pub fn on_index( index: &IborIndex, accrual_start: NaiveDate, accrual_end: NaiveDate, payment_date: NaiveDate, notional: f64, day_count: DayCountFraction, currency: Currency, reset_tenor: Period, gearing: f64, spread: f64, method: ResetCompounding, stub: &StubRule, ) -> Result<Self, StubInterpolationError>

A coupon over [accrual_start, accrual_end) resetting every reset_tenor on index: sub-periods advanced from the start on the index’s calendar and convention and capped at the end, each fixing on the index’s own lag and projecting over the index’s own window.

A final sub-period the index’s window does not fit — the reset tenor does not divide the period — reads the index as stub says: its full Designated Maturity (StubRule::IndexTenor), its own sub-period (StubRule::OwnAccrual), or the ISDA 2006 §8.3 blend of two tenors (StubRule::Interpolated, see interpolated_stub).

Errors

StubInterpolationError where an interpolated final sub-period’s tenors are out of order or do not bracket it.

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

The coupon’s effective rate in mode R: the combined amount per unit notional, over the accrual, so that amount = N·rate·τ as for every other coupon.

Errors

CashflowError::MarketData for a missing historical fixing; CashflowError::Curve for a curve query, or where a reset needs a projection and no forward curve was supplied; CashflowError::InterpolatedStubOnOneCurve for a coupon whose final reset blends two tenors, which one curve cannot price.

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

The coupon’s rate with each index it reads priced off its own curve: every reset off the coupon’s index, and an interpolated final reset the ISDA 2006 §8.3 blend of its two tenors, each off its own.

Errors

As rate, and CashflowError::NoCurveForIndex naming an index whose curve curves does not hold.

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

Each reset’s index rate, in order, before gearing and spread: the rates rate_with compounds, read off the same curves and fixings, so a report of the parts cannot drift from the whole.

Errors

As rate_with.

fn index_rate_with<R: Scalar, C: CurveByIndex<R> + ?Sized>( &self, i: usize, reset: &Reset, curves: &C, fixings: &FixingsView<'_, R>, as_of: NaiveDate, ) -> Result<R, CashflowError>

Reset i’s index rate: the interpolated blend for a final stub reset, otherwise the coupon’s index off its own curve.

fn combine<R: Scalar>( &self, index_rate: impl FnMut(usize, &Reset) -> Result<R, CashflowError>, ) -> Result<R, CashflowError>

The resets’ index rates, geared, combined under the coupon’s method into its effective rate: the one place the ISDA formulas are written.

fn reset_rate<R: Scalar>( &self, reset: &Reset, fwd: Option<&dyn YieldCurve<R>>, fixings: &FixingsView<'_, R>, as_of: NaiveDate, ) -> Result<R, CashflowError>

One reset’s index rate: observed where the fixing rule says so, else the simple forward over its window.

Trait Implementations

impl Clone for MultiResetCoupon

fn clone(&self) -> MultiResetCoupon

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for MultiResetCoupon

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

Formats the value using the given formatter.

impl PartialEq for MultiResetCoupon

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