Struct FxSwap 

pub struct FxSwap {
    near: FxForward,
    far: FxForward,
}

An FX swap: a near forward and a far forward on the same pair in opposite directions.

Fields

near: FxForward

far: FxForward

Implementations

impl FxSwap

pub fn new(near: FxForward, far: FxForward) -> Result<Self, FxError>

Composes a swap, validating the pair, the directions, the dates and the collateral.

Errors

The FxError naming the first violated rule.

pub fn near(&self) -> &FxForward

The near leg.

pub fn far(&self) -> &FxForward

The far leg.

impl FxSwap

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

The far outright that zeroes the swap given its near leg: the far leg’s value is affine in its quote amount −B·F however it settles, so this is one division through the reading the pricer uses — the parity forward, or a cash settlement’s printed fixing once it has printed.

Errors

The pricer’s own: a missing foreign discount curve or spot.

Trait Implementations

impl Clone for FxSwap

fn clone(&self) -> FxSwap

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for FxSwap

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

Formats the value using the given formatter.

impl PartialEq for FxSwap

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

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

The near leg plus the far leg, in the near leg’s quote currency: a leg cash-settled in the other currency converts at spot.

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

The fair far outright — what an FX-swap rung’s quote is verified against.

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 FxSwap

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

The market data this product is priced against.

impl Product for FxSwap

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

The swap with its far leg at the outright rate — the quote an FX-swap rung carries, which its fair far rate verifies.

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_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 FxSwap