Struct RangeAccrualCoupon 

pub struct RangeAccrualCoupon {

    pub accrual_start: NaiveDate,
    pub accrual_end: NaiveDate,
    pub payment_date: NaiveDate,
    pub notional: f64,
    pub fixed_rate: f64,
    pub day_count: DayCountFraction,
    pub accrual: f64,
    pub payment_ordinal: i32,
    pub currency: Currency,
    pub index: String,
    pub index_tenor: f64,
    pub lower: Option<f64>,
    pub upper: Option<f64>,
    pub observations: Vec<RangeObservation>,
    pub gap: f64,
}

A range accrual: notional · rate · tau · (days in range) / (days), each calendar day of the accrual period in range when the index’s fixing it observes lies in [lower, upper] (a missing bound is open).

By digital replication. A day still to fix is in range with the probability P(R > lower) − P(R > upper), each a digital call on the index replicated by a call spread gap wide, centred on its strike, off the currency’s cap vol surface at the fixing’s expiry and the index tenor — the replication Digital uses. A fixed day reads its print.

Fields

accrual_start: NaiveDate

Accrual start.

accrual_end: NaiveDate

Accrual end.

payment_date: NaiveDate

Payment date.

notional: f64

The notional. Contract data.

fixed_rate: f64

The rate paid for a day in range, as a decimal. Contract data.

day_count: DayCountFraction

The accrual day count.

accrual: f64

The accrual year fraction under day_count, evaluated once at build.

payment_ordinal: i32

The payment date as a proleptic-Gregorian day number.

currency: Currency

The coupon’s currency.

index: String

The observed index’s registry code.

index_tenor: f64

The index’s tenor, in years: the cap vol surface’s tenor column.

lower: Option<f64>

The range’s lower bound on the index, if any.

upper: Option<f64>

The range’s upper bound on the index, if any.

observations: Vec<RangeObservation>

The distinct fixings observed, in date order.

gap: f64

The call spread’s width, on the rate.

Implementations

impl RangeAccrualCoupon

pub fn on_index( index: &IborIndex, accrual_start: NaiveDate, accrual_end: NaiveDate, payment_date: NaiveDate, notional: f64, fixed_rate: f64, day_count: DayCountFraction, currency: Currency, lower: Option<f64>, upper: Option<f64>, gap: f64, ) -> Result<Self, PayoffError>

A range accrual on the registered term index over [accrual_start, accrual_end), every calendar day observing the fixing of the latest business day on or before it on the index’s calendar.

Errors

PayoffError::EmptyRange with no bound; PayoffError::NonFinite for a bound that is not finite; PayoffError::InvertedRange for a lower bound above the upper; PayoffError::NonPositiveGap for a gap that is not positive.

Panics

If the accrual period runs to the last representable date.

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

The rate paid over the period: the fixed rate times the fraction of days in range, expected where a day is still to fix.

Trait Implementations

impl Clone for RangeAccrualCoupon

fn clone(&self) -> RangeAccrualCoupon

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for RangeAccrualCoupon

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

Formats the value using the given formatter.

impl PartialEq for RangeAccrualCoupon

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