Struct YoyInflationCoupon 

pub struct YoyInflationCoupon {

    pub accrual_start: NaiveDate,
    pub accrual_end: NaiveDate,
    pub payment_date: NaiveDate,
    pub notional: f64,
    pub gearing: f64,
    pub spread: f64,
    pub day_count: DayCountFraction,
    pub accrual: f64,
    pub payment_ordinal: i32,
    pub currency: Currency,
    pub index: String,
    pub lag_months: u32,
    pub payoff: Option<RatePayoff>,
}

A year-on-year inflation coupon: `notional · τ · (g · (I(end)/I(start) − 1)

• s), each level the price index observed under the index's lag and interpolation, paid on payment_date. A payoff caps, floors or digitises the rate as on an IBOR coupon, each option a year-on-year optionlet off the index's YoY vol surface (see [crate::marketdata::inflation_vol`]).

Fields

accrual_start: NaiveDate

Accrual start, and the date the opening level is observed for.

accrual_end: NaiveDate

Accrual end, and the date the closing level is observed for.

payment_date: NaiveDate

Payment date.

notional: f64

The notional. Contract data.

gearing: f64

Multiplicative gearing on the year-on-year rate.

spread: f64

Additive spread, as a decimal.

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 price index’s registry code.

lag_months: u32

The observation lag, in months.

payoff: Option<RatePayoff>

An option on the coupon’s rate, or None for a plain coupon.

Implementations

impl YoyInflationCoupon

pub fn new( accrual_start: NaiveDate, accrual_end: NaiveDate, payment_date: NaiveDate, notional: f64, currency: Currency, index: impl Into<String>, lag_months: u32, day_count: DayCountFraction, ) -> Self

A plain coupon on index over [accrual_start, accrual_end], paid on payment_date, observing at lag_months, ungeared and unspread.

pub fn geared(self, gearing: f64, spread: f64) -> Self

This coupon paying gearing · YoY + spread.

pub fn with_payoff(self, payoff: RatePayoff) -> Self

This coupon with payoff on its rate.

pub fn forward<R: Scalar, C: CurveByIndex<R> + ?Sized>( &self, curves: &C, ) -> Result<R, CashflowError>

The year-on-year forward I(end)/I(start) − 1, each level read as every indexed product reads it: a print first, the curve otherwise.

Errors

CashflowError::NoIndexForCoupon where curves holds no inflation for the index; the curve’s own errors.

fn closing_published<R: Scalar>(&self, fixings: &FixingsView<'_, R>) -> bool

Whether every month the closing observation reads is published — the coupon’s rate is then known, and its option is its intrinsic value.

pub fn optionlet<R: Scalar, C: CurveByIndex<R> + ?Sized>( &self, forward: R, strike: f64, kind: OptionKind, curves: &C, as_of: NaiveDate, ) -> Result<R, CashflowError>

The undiscounted year-on-year optionlet on forward at the index strike strike: Bachelier on a normal surface, Black-76 on F + d, K + d on a lognormal one displaced by d; the vol read at the optionlet time ACT/365F(first of the month of (as_of − lag), end − lag) and strike, the variance accruing over that time. A time not after the vol’s base date is the intrinsic value.

Errors

CashflowError::PayoffWithoutYoyVols where curves holds no YoY vols for the index; CashflowError::PayoffNotLognormal where a lognormal surface meets a non-positive displaced forward or strike.

pub fn option_rate<R: Scalar, C: CurveByIndex<R> + ?Sized>( &self, strike: f64, kind: OptionKind, curves: &C, fixings: &FixingsView<'_, R>, as_of: NaiveDate, ) -> Result<R, CashflowError>

One undiscounted year-on-year option on this coupon’s own forward at strike, as of as_of — what a YoY caplet or floorlet on the period pays per unit of N·τ: the intrinsic value once the closing observation is published or the optionlet time has run out, the optionlet otherwise.

Errors

As forward and optionlet.

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

The coupon rate g·F + s with its payoff, as of as_of: a settled payoff on a known rate, otherwise the coupon layer’s payoff composed over optionlet.

Errors

As forward and optionlet; a malformed payoff.

Trait Implementations

impl Clone for YoyInflationCoupon

fn clone(&self) -> YoyInflationCoupon

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for YoyInflationCoupon

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

Formats the value using the given formatter.

impl PartialEq for YoyInflationCoupon

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