Struct BondForward 

pub struct BondForward {
    pub bond: FixedRateBond,
    pub notional: f64,
    pub strike: f64,
    pub strike_quote: StrikeQuote,
    pub forward_date: NaiveDate,
    pub settlement_date: NaiveDate,
    pub side: f64,
    pub knockout_issuer: Option<CreditCurveId>,
    pub repo_key: String,
    pub collateral: CollateralSpec,
}

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

Fields

bond: FixedRateBond

The reference bond.

notional: f64

Package notional in bond face.

strike: f64

The locked strike per 100 face.

strike_quote: StrikeQuote

Whether the strike is quoted clean or dirty.

forward_date: NaiveDate

The forward (price-determination) date.

settlement_date: NaiveDate

The settlement date the payoff discounts to.

side: f64

+1 long, −1 short.

knockout_issuer: Option<CreditCurveId>

The issuer whose survival to the forward date scales the payoff, if the forward knocks out on default.

repo_key: String

The repo curve the bond is financed on.

collateral: CollateralSpec

The collateral key the payoff discounts under.

Implementations

impl BondForward

pub fn new( bond: FixedRateBond, notional: f64, strike: f64, forward_date: NaiveDate, settlement_date: NaiveDate, repo_key: impl Into<String>, ) -> Result<Self, FinancingError>

A long forward with a clean strike, no knockout, financed on repo_key, discounting on the bond currency’s cash collateral.

Errors

FinancingError::SettlementBeforeForward if the dates are inverted.

pub fn short(self) -> Self

The short side.

pub fn dirty_strike(self) -> Self

A dirty (accrued-inclusive) strike.

pub fn with_knockout(self, issuer: CreditCurveId) -> Self

Knocks out on issuer’s default before the forward date.

pub fn strike_amount(&self) -> f64

The notional-scaled strike amount: strike·N/100, plus the accrued at the forward date when the strike is quoted clean, so that the forward dirty price and the strike net accrued exactly once.

Trait Implementations

impl Clone for BondForward

fn clone(&self) -> BondForward

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for BondForward

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

Formats the value using the given formatter.

impl PartialEq for BondForward

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

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

sign · (F_dirty·N/100 − strike_amount) · DF_disc(settle), scaled by the issuer’s survival to the forward date when the forward knocks out.

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

The par rate — the fixed rate at which the product is worth nothing.

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 BondForward

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

Discounts on the declared collateral, carries on the repo curve, and — only when the forward knocks out — references the issuer.

impl Product for BondForward

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 BondForward