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ice_gilt_conversion_factor

helixrs::instruments::bond_derivatives

Function ice_gilt_conversion_factor 

pub fn ice_gilt_conversion_factor(
    bond: &FixedRateBond,
    delivery_month_start: NaiveDate,
    notional_coupon: f64,
) -> f64
Expand description

The ICE Long Gilt conversion factor: the clean price per unit nominal of bond at a gross redemption yield of notional_coupon (a decimal, 0.04 for the Long Gilt), compounded semi-annually, settled on delivery_month_start — the first calendar day of the delivery month, business day or not — rounded to seven decimals, as ICE’s contract specification defines it.

The gilt conventions are the contract’s, not the caller’s: the bond is priced under the 7-business-day ex-dividend rule whatever rule it carries. Its schedule and day count are the bond’s own: a gilt is booked on ACT/ACT ICMA semi-annual.

A gilt issued shortly before a coupon date and first paying a period later is booked with FixedRateBond::with_first_coupon, and its long first period accrues by the ICMA split.