Module linker 

Street quote conventions for inflation-linked bonds.

A linker is priced by scaling its real flows by the index at a plainly lagged date. It is quoted by a rule its market publishes, and the two are not the same rule — the same split a nominal bond already has between curve-space and yield-space. Nothing here changes what a linker is worth; it changes what number the market puts on it.

Most of that number is arithmetic this crate already has. TIPS, Canadian RRBs and UK gilts at the three-month lag all quote a real yield on the real flows, and InflationLinkedBond::real is exactly that bond — so their quotes are dirty_price on the real twin at a street basis, and no second implementation of the price/yield relationship appears here. What those three markets genuinely need is the two pieces below: a reference-index observation and a rounding chain.

Three markets are more than that, and each says so: UK gilts at the eight-month lag leave real space for money space, Brazilian NTN-Bs discount on BUS/252 against a VNA, and Australian capital-indexed bonds carry a quarterly Kt recursion.

Structs

AnbimaParcel

One discounted parcel of an ANBIMA quotation.

AnbimaQuote

An ANBIMA quotation: its parcels, the quotation, and the unit price.

AustralianSnapshot 🔒

The yield-independent AOFM inputs.

LinkerInvoice

What a linker actually settles at, per 100 nominal face.

RoundingChain

What a market does to its reference index and to the ratio built from it.

UkDmoSnapshot 🔒

The yield-independent inputs to the DMO case formula.

Enums

LinkerQuoteError

A street quote asked of a market that does not serve it, or that could not be produced.

MonthObservation

How a market reads the index inside the lagged month.

RoundingStep

One rounding step in a market’s published chain.

Constants

DMO_ASSUMED_INFLATION

The DMO’s standing inflation assumption for eight-month-lag money/real arithmetic.

REAL_YIELD_FAMILY 🔒

The markets whose street quote is a real yield on the real flows.

Functions

anbima_nominal_value

The official VNA at date: 1000 · I(date)/I_base, truncated to six decimals.

anbima_price

The ANBIMA quotation at a real yield (tir, per annum as a decimal).

anbima_price_from_snapshot 🔒

The unit price over a snapshot, applying the same truncation chain anbima_price does without materialising parcels.

anbima_snapshot 🔒

The yield-independent ANBIMA flow snapshot: per remaining flow its date, business-day count, amount, and truncated exponent.

anbima_yield_from_price

The real yield implied by an ANBIMA unit price, by bisection over the exact truncation chain.

australian_coupon_factor

The AOFM p for the payment at next_coupon: half the percentage CPI movement over the two quarters ending two quarters before that payment’s quarter, p = round₂(50·(CPIₜ/CPIₜ₋₂ − 1)).

australian_indexation_factor

The Kt at date in ratio form: round₂(100 · I(lagged(date))/I_base).

australian_kt_step

One exact step of the AOFM Kt chain: Kt = round₂(Kt₋₁ · (1 + p/100)).

australian_price_from_real_yield

The AOFM price per 100 face at a quarterly-compounded real yield.

australian_price_from_snapshot 🔒

The AOFM price formula at a trial quarterly-compounded real yield:

australian_real_yield_from_price

The quarterly-compounded real yield implied by an AOFM price.

australian_snapshot 🔒

days_in_month 🔒

Days in date’s own month — the denominator of the daily interpolation.

invoice

The settlement invoice for a real-yield-quoting linker at a real clean quote.

lagged_month_start 🔒

The first of the month lag months before date.

month_point 🔒

One monthly index point: a published fixing where there is one, the curve otherwise.

months_between 🔒

Whole months from from’s month to to’s month.

period_containing 🔒

The coupon period containing settlement, as (start, end).

periods_as_f64 🔒

A whole-period count as a float. A bond has few periods, so the conversion cannot lose anything; written out rather than cast so the pedantic lints stay on.

quotes_real_yield

Whether convention quotes a real yield, given the bond’s lag.

real_clean_price_of 🔒

The real clean price per 100: the real dirty price less the real twin’s accrued. Accrued is in real terms too, so nothing indexes here.

real_dirty_price_of 🔒

The real dirty price per 100 at a street real yield.

real_price

The real price at real_yield on the requested basis — one door for a caller holding a parsed PriceBasis rather than a branch over two signatures.

real_yield

The street real yield implied by a real clean quote — the inverse of real_price at the clean basis.

real_yield_basis

The street basis a real yield is quoted on: semiannual for every market in this family.

reference_index

The street reference index at date.

require_anbima 🔒

require_australian 🔒

require_bullet 🔒

The sovereign street kernels quote a bullet; an amortising real twin is refused by name rather than read as one.

require_real_yield 🔒

require_uk 🔒

round_dp

Round x to the nearest value at dp decimal places.

street_index_ratio

The street index ratio at date, by the bond’s own market convention.

street_rule

The observation and rounding chain a market’s street quote reads by.

trunc_dp

Truncate x toward zero at dp decimal places.

uk_anchor 🔒

The DMO projection anchor a = (RPI_L/RPI_B)·u^{2k/12}: the latest published RPI deflated back k months to the next dividend’s defining month, with u = (1+π)^{−1/2}.

uk_dmo_snapshot 🔒

uk_latest_rpi 🔒

The latest published monthly index print strictly before settlement’s month, scanning back up to eighteen months of fixings and falling back to the curve at the previous month start.

uk_money_accrued

The money accrued per 100 at settlement.

uk_money_dirty_from_snapshot 🔒

The DMO case formula at a trial real yield:

uk_money_price

The money dirty price per 100 at a semiannual real yield.

uk_money_yield

The DMO money yield implied by a real yield under assumed annual inflation pi: (1 + y/2) = (1 + ρ/2)·(1 + π)^{1/2}.

uk_real_yield_from_money

The real yield implied by a DMO money yield — the inverse of uk_money_yield.

uk_real_yield_from_money_dirty

The semiannual real yield implied by a money dirty price — the inverse of uk_money_price, by bisection over the case formula.