Struct CurvePin 

pub struct CurvePin {
    pub currency: Currency,
    pub date: NaiveDate,
    pub reading: CurveReading,
}

A curve’s reading at a date, as an instrument: its value is the reading on the discount curve pinned under currency’s cash collateral.

Fields

currency: Currency

The currency whose cash-collateral discount curve is read.

date: NaiveDate

The date the reading is taken at.

reading: CurveReading

Which reading.

Implementations

impl CurvePin

pub fn new(currency: Currency, date: NaiveDate, reading: CurveReading) -> Self

The reading of currency’s discount curve at date.

impl CurvePin

fn collateral_spec(&self) -> &'static CollateralSpec

The cash collateral the reading is taken from. Owned here because the declaration borrows it, and the instrument stores the currency.

Trait Implementations

impl Clone for CurvePin

fn clone(&self) -> CurvePin

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for CurvePin

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

Formats the value using the given formatter.

impl PartialEq for CurvePin

fn eq(&self, other: &CurvePin) -> 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<R: Scalar> Priceable<R> for CurvePin

fn npv(&self, view: &PricingView<'_, R>) -> Result<R, PricingError>

The reading itself: the discount factor to the date, or the continuously compounded zero rate to it — so a priced rung with money per quote of one pins the curve to the quote.

fn par_rate(&self, view: &PricingView<'_, R>) -> Result<R, PricingError>

The same reading: a curve pin has no rate apart from what it reads.

fn par_spread(&self, _view: &PricingView<'_, R>) -> Result<R, PricingError>

The par (breakeven) floating-leg spread. Zero for a product with no floating leg.

impl PricingRiskFactors for CurvePin

fn risk_factors(&self) -> Result<RiskFactors<'_>, PricingError>

The market data this product is priced against.

impl Product for CurvePin

fn currency(&self) -> Currency

The currency the product pays in. An FX product values in its quote currency; a book converts.

fn contract_dates(&self) -> Vec<(&'static str, NaiveDate)>

The contract dates the product resolved to, as (name, date) pairs — exactly the dates its stated constructor takes, so a product built through a derived form can be read back and rebuilt through the stated one. Empty for a product with no stated form. No default: every product states which it is — see AnyInstrument::contract_dates.

fn legs(&self) -> Option<Vec<&Leg>>

The legs the product itself holds, in a declared order, or None for a product that holds none — see AnyInstrument::legs. No default: every product states which it is.

fn final_payment_date(&self) -> Option<NaiveDate>

The date of the product’s final payment, where a calibration rung can be built on it; None for a product no ladder is built from.

fn restruck_at_rate(&self, _rate: f64) -> Option<AnyInstrument>

This product re-struck at the par rate rate — the scalar a par calibration rung on it is quoted in — or None for a product that carries no such scalar. What a quote scenario moves a rung to.

fn restruck_at_spread(&self, _spread: f64) -> Option<AnyInstrument>

This product re-struck at the basis spread spread on its spread leg, or None for a product that quotes none.

impl StructuralPartialEq for CurvePin