Struct EquityTotalReturnSwap 

pub struct EquityTotalReturnSwap {
    pub names: Vec<String>,
    pub currency: Currency,
    pub quantities: Vec<f64>,
    pub initial_prices: Vec<f64>,
    pub reset_schedule: Vec<NaiveDate>,
    pub funding_day_count: DayCountFraction,
    pub funding_margin: f64,
    pub funding_gearing: f64,
    pub funding_collateral: CollateralSpec,
    pub funding_index: Option<String>,
    pub pay_total_return: bool,
    pub funding_notional: Option<f64>,
}

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.

Fields

names: Vec<String>

The constituents’ names, as the market quotes their spots.

currency: Currency

The return and funding currency.

quantities: Vec<f64>

Shares of each constituent, aligned with names.

initial_prices: Vec<f64>

The contractual price per share each constituent’s first period starts from, aligned with names.

reset_schedule: Vec<NaiveDate>

Reset boundaries, ascending: the return and funding periods.

funding_day_count: DayCountFraction

The funding leg’s accrual day count.

funding_margin: f64

The margin over the funding index, as a decimal.

funding_gearing: f64

Gearing on the index fixing; 0.0 makes the funding fixed at the margin.

funding_collateral: CollateralSpec

The funding leg’s discounting collateral.

funding_index: Option<String>

The funding index whose fixing at a period’s start sets its rate.

pay_total_return: bool

true pays the total return and receives funding.

funding_notional: Option<f64>

The funding notional where the contract states one; None is Σ quantity · initial_price.

Implementations

impl EquityTotalReturnSwap

pub fn new( name: impl Into<String>, currency: Currency, quantity: f64, initial_price: f64, reset_schedule: Vec<NaiveDate>, ) -> Result<Self, FinancingError>

A total-return receiver with Act/360 funding on the currency’s cash collateral, zero margin and unit gearing.

Errors

FinancingError::MalformedResets for fewer than two or non-ascending boundaries; FinancingError::NonPositiveEquityTerms for a quantity or initial price that is not finite and positive.

pub fn basket( constituents: Vec<(String, f64, f64)>, currency: Currency, reset_schedule: Vec<NaiveDate>, ) -> Result<Self, FinancingError>

new on a basket of (name, quantity, initial_price) constituents.

Errors

As new, for any constituent; FinancingError::MalformedEquityBasket for an empty basket or a repeated name.

pub fn funded_notional(&self) -> f64

The funding leg’s notional: stated, or Σ quantity · initial_price.

Trait Implementations

impl Clone for EquityTotalReturnSwap

fn clone(&self) -> EquityTotalReturnSwap

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for EquityTotalReturnSwap

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

Formats the value using the given formatter.

impl PartialEq for EquityTotalReturnSwap

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

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

The accrued value of the period under way: each constituent’s shares at spot against the period’s start price, plus its dividends, less the funding accrued in the period under way, undiscounted; nothing from the last reset on.

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 EquityTotalReturnSwap

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

The funding collateral’s discount curve and each constituent’s spot. The funding index is read only for its past fixing, so no projection.

impl Product for EquityTotalReturnSwap

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 EquityTotalReturnSwap