Struct RepoSpreadView 

pub struct RepoSpreadView<'a, R: Scalar> {
    data: &'a RepoSpread,
    params: Cow<'a, [R]>,
}

RepoSpread lifted into one pricing mode.

Fields

data: &'a RepoSpread

params: Cow<'a, [R]>

Implementations

impl<R: Scalar> RepoSpreadView<'_, R>

pub fn parameters(&self) -> &[R]

This mode’s parameters — the spreads.

pub fn basis(&self) -> DayCountFraction

The money-market basis the spread accrues on.

pub fn accrual(&self, date: NaiveDate) -> Result<f64, CurveError>

The year fraction from the reference date to date, in the basis.

Errors

CurveError::BeforeReference for a date before the reference date.

pub fn spread_at(&self, date: NaiveDate) -> Result<R, CurveError>

The spread at date: linear between pillars, flat outside them.

Errors

CurveError::BeforeReference for a date before the reference date.

fn spread_at_tau(&self, tau: f64) -> R

fn accrual_factor(&self, date: NaiveDate) -> Result<R, CurveError>

1 + s(t)·τ(t), refused where it is not positive.

Trait Implementations

impl<'a, R: Clone + Scalar> Clone for RepoSpreadView<'a, R>

fn clone(&self) -> RepoSpreadView<'a, R>

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl<'a, R: Debug + Scalar> Debug for RepoSpreadView<'a, R>

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

Formats the value using the given formatter.

impl<R: Scalar> YieldCurve<R> for RepoSpreadView<'_, R>

fn discount(&self, date: NaiveDate) -> Result<R, CurveError>

The spread over a unit base: 1/(1 + s·τ).

fn reference_date(&self) -> NaiveDate

The date at which the discount factor is 1.

fn log_discount(&self, date: NaiveDate) -> Result<R, CurveError>

The log discount factor to date.

fn discount_at_ordinal(&self, ordinal: i32) -> Result<R, CurveError>

The discount factor to the proleptic-Gregorian day number ordinal.

fn log_discount_at_ordinal(&self, ordinal: i32) -> Result<R, CurveError>

The log discount factor at ordinal; see discount_at_ordinal.

fn rate_day_count(&self) -> DayCountFraction

The day count this curve forms a rate under.

fn zero_rate(&self, date: NaiveDate) -> Result<R, CurveError>

The continuously-compounded zero rate to date.

fn forward_rate( &self, start: NaiveDate, end: NaiveDate, ) -> Result<R, CurveError>

The continuously-compounded forward rate between start and end.