Struct Observation 

pub struct Observation {
    pub start: NaiveDate,
    pub end: NaiveDate,
    pub tau: f64,
    pub weight: f64,
}

One daily observation of an overnight index.

Built curve-free when the coupon is resolved, so a valuation walks dates rather than a calendar.

Fields

start: NaiveDate

The day’s rate period start.

end: NaiveDate

Its end.

tau: f64

The day’s year fraction on the index’s day count.

weight: f64

The year fraction the day’s rate accrues over in the coupon: tau on a plain strip; the interest day’s own fraction under a lookback or a rate cut-off, where the rate read is another day’s.

Implementations

impl Observation

pub fn plain(start: NaiveDate, end: NaiveDate, tau: f64) -> Self

A plain day: its rate accrues over its own span.

Trait Implementations

impl Clone for Observation

fn clone(&self) -> Observation

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Copy for Observation

impl Debug for Observation

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

Formats the value using the given formatter.

impl PartialEq for Observation

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