Function eurex_btp_conversion_factor
pub fn eurex_btp_conversion_factor(
coupon: f64,
interest_start: NaiveDate,
first_coupon: NaiveDate,
maturity: NaiveDate,
delivery: NaiveDate,
notional_coupon: f64,
) -> f64Expand description
Eurex’s conversion factor for a semi-annual-coupon Italian government bond
delivered into the Euro-BTP future, rounded to seven decimals, as
Conversion factor calculation for Euro-BTP Future states it: the
eurex_conversion_factor formula on half-year coupon periods,
cn/(100·cf) the per-period notional yield, each coupon and the
redemption discounted a further delay/daycount periods for a payment
date that rolls off a weekend or holiday — delay the days it rolls,
daycount the actual days of the period after it. The payments roll
following on the TARGET calendar, where BTPs pay.
coupon and notional_coupon are decimals; the other arguments are
eurex_conversion_factor’s.