Module instruments 

Instrument types: what a trade is, with no opinion on how it is valued.

Every field is passive contract data, and no type here takes a scalar type parameter — an instrument is the same value whatever mode it will later be priced in. What a trade holds is its legs (themselves compiled and passive), its currency, its collateral, and the identifiers naming the market data it is priced against.

The pricers live one layer up, with the seam they are written against, because pricing needs the resolved market view, and the view is the seam’s business. An instrument that knew how to fetch its own curves would be a layering inversion wearing a convenience.

Re-exports

pub use bonds::CallableBond;

Modules

asset_swap

The asset swap: a reference bond packaged with a floating leg, quoted as a spread over the risk-free curve.

bond_derivatives

Bond derivatives: the European option on a cash bond, and the bond future’s deliverable basket.

bonds

Fixed-rate bonds, and the yield-space analytics a street quote is read in.

cap_floor

An interest-rate cap or floor: a strip of options on a term index’s coupons.

cpi_cap_floor

A zero-coupon inflation cap or floor: one option on a price index’s growth over the trade’s life.

credit

Credit instruments.

credit_linked

A credit-linked swap: ordinary legs, each tagged with how it depends on one reference entity’s default, with legs in several currencies.

curve_pin

A calibration target on a curve’s own reading.

equity

Equity options: a European call or put on a quoted equity, valued as Black-Scholes on the dividend-free forward.

fee

A standalone fee: one known amount paid or received on a date — the way an upfront is attached to a structure.

financing

Financing trades: the bond forward and the bond total return swap.

fx

FX forwards and swaps: two cashflows in two currencies, and a pair of them.

loan

A loan: the principal drawn at the start, interest on each period and the principal repaid at the end, booked from the lender’s side.

pik

The accretion seam and the fixed-rate payment-in-kind bond.

rates

Single-currency interest-rate products: the two swaps, the forward-rate agreement, the money-market deposit, the STIR future, the zero-coupon swap and the tenor basis swap.

repack

The single-asset repack note: what a limited-recourse SPV holds and owes.

repo

A repo: cash against a bond, returned at a far date for cash plus interest.

straddle

A two-option strategy booked as one product — a straddle, or a strangle when the strikes differ: its value is the options’ sum and its quote is the one flat vol that reprices them, the way a straddle is quoted.

structured

A structured note: a leg of composed coupons and the face it redeems.

swaptions

Swaptions: the European option on a swap, and the Bermudan.

yoy_cap_floor

A year-on-year inflation cap or floor: a strip of options on a price index’s annual growth.

Macros

dispatch 🔒

dispatch!(on, x => body): body evaluated with x bound to the product inside on, whichever it is — the forwarding match, written once for every per-product method.

products 🔒

Declares the built-in products once. From one list it derives the enum, the runtime name AnyInstrument::product_name returns, the AnyInstrument::PRODUCT_NAMES a caller resolves against, and dispatch!, which writes the forwarding match every per-product method delegates through.

Structs

NotTheProduct

A product-specific reading asked of another product: the verb, the product it takes and the product it was given. A caller’s input, raised as ValueError in Python, carrying this text.

Enums

AnyInstrument

The closed instrument set.

Traits

Product

What every built-in product states about itself, beside how it is priced.

Functions

last_payment 🔒

The last payment date across legs’ coupons — a swap’s final payment.