Module rates 

Single-currency interest-rate products: the two swaps, the forward-rate agreement, the money-market deposit, the STIR future, the zero-coupon swap and the tenor basis swap.

The template constructors (from_template) read the ported conventions and the index registry and place dates the conventional way: the spot from the template’s lag, tenors and periods advanced on the template calendar, schedules generated forward from the effective date.

Structs

CrossCurrencyLeg

One side of a cross-currency swap: a receive-oriented compiled leg and the identifiers naming what it is priced against.

CrossCurrencySwap

A cross-currency swap: pay one leg, receive another, principal exchanged at both ends, valued in the pay currency.

ForwardRateAgreement

A forward-rate agreement: one accrual period, cash-settled at its start.

MoneyMarketDeposit

A money-market deposit: principal lent at the start, principal and one simple accrual returned at maturity.

OvernightIndexedSwap

An overnight-indexed swap: fixed against a compounded overnight leg.

RateFuture

A short-term interest-rate futures position.

StatedDates

The unadjusted effective and termination dates a swap was generated from — what its dated constructor takes.

TenorBasisSwap

A single-currency tenor basis swap: a spread leg on one index, carrying the basis spread, received against a base leg on another index, paid. Each leg has its own schedule, day count and index window.

VanillaSwap

A fixed-versus-IBOR swap.

YoyInflationSwap

A year-on-year inflation swap: a strip of annual index ratios against a strip of fixed coupons, each period settling on its own end date.

ZeroCouponInflationSwap

A zero-coupon inflation swap: one payment each side at maturity, the inflation side paying the index’s growth over the swap’s life and the fixed side the growth its rate implies.

ZeroCouponSwap

A zero-coupon swap: one terminal fixed accrual against a floating side that compounds its periods’ index-window forwards, both paid at maturity.

Enums

CrossCurrencyError

Why a cross-currency template cannot become a swap.

RateFutureError

Why a listed rate-future contract could not be booked.

Functions

accrual_span 🔒

A compiled leg’s first accrual start and last accrual end, its principal exchanges aside — the dates a cross-currency leg exchanges on.

basis_leg_index 🔒

The registered term or overnight index a tenor basis leg projects on, or CurveError::UnknownIndex naming the codes a leg accepts — those two families, and only those.

business_day_on_or_after 🔒

The first business day on or after date on cal.

business_day_on_or_before 🔒

The last business day on or before date on cal.

index_currency 🔒

The currency an index’s registry row names.

nd_conversions 🔒

One conversion per payment of a non-deliverable cross-currency leg, in leg order: an initial exchange at the agreed deal rate, a final exchange the lag before it pays, and each coupon by anchor — the lag before its payment, or before its period end for value on it (EMTA-ISDA MP8).

non_deliverable_legs 🔒

Both legs of a swap made non-deliverable in settlement, with the collateral the converted payments discount on and the foreign key their forward reads.

over_accrual 🔒

xccy_leg_index 🔒

leg with every IBOR coupon projected over its own accrual period rather than its index’s tenor: the same coupons, fixing on the same dates. The index a cross-currency leg floats on: the template’s own where the leg was stated on a value, else the registry’s for its code.