Struct ContractualAccretion 

pub struct ContractualAccretion {
    dates: Vec<NaiveDate>,
    factors: Vec<f64>,
    taus: Vec<f64>,
    rate: f64,
}

A contractual accretion rule: par face grown by the compounded period factors ∏(1 + c·τᵢ) over the capitalisation dates elapsed to a date.

Fields

dates: Vec<NaiveDate>

Capitalisation dates, ascending — the schedule boundaries after the first.

factors: Vec<f64>

Growth factor per capitalisation: 1 + rate · τᵢ.

taus: Vec<f64>

Accrual year fraction per capitalisation.

rate: f64

The annual capitalisation rate.

Implementations

impl ContractualAccretion

pub fn from_bond(bond: &FixedRateBond) -> Self

The rule a bullet’s own schedule and coupon define: each boundary after the first is a capitalisation at 1 + coupon · τ on the period’s own accrual basis.

pub fn rate(&self) -> f64

The annual capitalisation rate.

pub fn factor_at(&self, date: NaiveDate) -> f64

The accretion factor at date: the product of the growth factors whose capitalisation date is on or before it. Exactly 1.0 before the first capitalisation — a bond at issue is at par. Compounded, not summed: two 5% half-years give 1.05² = 1.050625.

pub fn capitalisations(&self, par_face: f64) -> Vec<Capitalisation>

Every capitalisation on the bond’s life, in order, growing par_face.

Trait Implementations

impl Clone for ContractualAccretion

fn clone(&self) -> ContractualAccretion

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for ContractualAccretion

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

Formats the value using the given formatter.

impl PartialEq for ContractualAccretion

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