Struct ObservationConventions 

pub struct ObservationConventions {
    pub lookback: u32,
    pub shift: u32,
    pub cutoff: u32,
    pub cap: Option<f64>,
    pub floor: Option<f64>,
}

How an overnight coupon observes its index, beyond the plain daily strip: the RFR conventions FpML states under calculationParameters (lookback, observation period shift, lockout) and bounds on each daily rate. Every count is in business days of the strip’s calendar; the default is the plain strip.

Fields

lookback: u32

Each interest day reads the rate this many business days earlier, weighted by the interest day’s own fraction.

shift: u32

The whole observation period starts and ends this many business days before the interest period, weighted on its own days.

cutoff: u32

The last this-many business days of the period repeat the rate of the first of them: the rate cut-off.

cap: Option<f64>

The cap on each daily rate, as a decimal.

floor: Option<f64>

The floor on each daily rate, as a decimal.

Implementations

impl ObservationConventions

pub fn observations( &self, calendar: &dyn Calendar, start: NaiveDate, end: NaiveDate, index_day_count: DayCountFraction, ) -> Vec<Observation>

The observation strip of the interest period [start, end).

Trait Implementations

impl Clone for ObservationConventions

fn clone(&self) -> ObservationConventions

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Copy for ObservationConventions

impl Debug for ObservationConventions

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

Formats the value using the given formatter.

impl Default for ObservationConventions

fn default() -> ObservationConventions

Returns the “default value” for a type.

impl PartialEq for ObservationConventions

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