Struct BondBasket 

pub struct BondBasket {
    pub constituents: Vec<BasketConstituent>,
}

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.

Fields

constituents: Vec<BasketConstituent>

The constituents, in one currency, each with a positive weight.

Implementations

impl BondBasket

pub fn new(constituents: Vec<BasketConstituent>) -> Result<Self, FinancingError>

A basket from its constituents.

Errors

FinancingError::EmptyBasket with no constituents; FinancingError::NonPositiveWeight for a weight that is not finite and strictly positive; FinancingError::MixedCurrencies when a constituent’s currency differs from the first’s.

pub fn single(bond: FixedRateBond, initial_price: f64) -> Self

The basket of one: bond at weight one, starting at initial_price.

pub fn currency(&self) -> Currency

The basket’s currency — every constituent’s.

pub fn funded_per_100(&self) -> f64

The weighted starting price per 100 of package notional: what the funding leg accrues on, per 100 face.

Trait Implementations

impl Clone for BondBasket

fn clone(&self) -> BondBasket

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for BondBasket

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

Formats the value using the given formatter.

impl PartialEq for BondBasket

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