Struct DeliverableAnalysis 

pub struct DeliverableAnalysis {
    pub key: String,
    pub conversion_factor: f64,
    pub spot_clean: f64,
    pub forward_clean: f64,
    pub carry_tier: Option<RepoTier>,
    pub gross_basis: f64,
    pub net_basis: f64,
    pub interim_coupons: f64,
    pub repo_day_count: DayCountFraction,
    pub implied_repo: f64,
}

One deliverable’s analytics at a quoted futures price.

Fields

key: String

The row’s name — its deliverable’s key, which is the ISIN on the security-master path.

conversion_factor: f64

Its exchange-published conversion factor.

spot_clean: f64

Spot clean price per 100, settling on the valuation date.

forward_clean: f64

Forward clean price per 100 at delivery, carried on its repo curve — on the discount curve when none resolves.

carry_tier: Option<RepoTier>

The tier that supplied the carry curve, or None for the discount-curve fallback.

gross_basis: f64

spot_clean − F·CF.

net_basis: f64

forward_clean − F·CF.

interim_coupons: f64

Coupons per 100 the deliverable pays after the valuation date and on or before delivery: Σcᵢ.

repo_day_count: DayCountFraction

The day count implied_repo is quoted on.

implied_repo: f64

The simple financing rate the invoice implies, each interim coupon reinvested to delivery at the same rate: (I + Σcᵢ − P) / (P·τ − Σcᵢ·τᵢ), with I = F·CF + accrued(delivery), P the spot dirty price, τ valuation to delivery and τᵢ coupon payment to delivery, on repo_day_count.

Trait Implementations

impl Clone for DeliverableAnalysis

fn clone(&self) -> DeliverableAnalysis

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for DeliverableAnalysis

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

Formats the value using the given formatter.

impl PartialEq for DeliverableAnalysis

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