Module financing 

Financing trades: the bond forward and the bond total return swap.

Both carry a reference bond’s price forward on a repo curve — through forward_price at PriceBasis::Dirty — and both are ordinary priceables on the seam: each declares the curves it reads (the bond currency’s discount, the repo curve by key, and for the swap the funding curves) and is priced once, generically, in every mode. Neither resolves the market directly: the seam carries a repo key instead.

Every field is passive contract data. The repo curve is named by a plain string key the instrument carries — the regenerated store keys repo curves by string and has no group registry, and an instrument that says which curve it finances on is more honest than one that guesses through a cascade.

Structs

BasketConstituent

One bond in a BondBasket: the bond, its weight as a face multiplier on the package notional, and the contractual starting clean price per 100 face the first reset is anchored on.

BondBasket

A basket of bonds a total return swap returns, replicated from its constituents: the swap’s return leg is the weighted sum of each bond’s price return and pass-through flows, and its funding is on the weighted starting price. A single bond is the basket of one.

BondForward

A linear bond forward: the reference bond’s dirty price at the forward date, carried on the repo curve, against a locked strike.

BondTotalReturnSwap

A bond total return swap: the reference bond’s total return against a floating funding leg, single-currency.

EquityTotalReturnSwap

An equity total return swap: the total return on a basket of one or more equities against a funding leg, single-currency, valued on the period under way as accrued to date.

Enums

FinancingError

A financing trade that cannot be built as specified.

StrikeQuote

How a bond forward’s strike is quoted.