Struct CrossCurrencyLeg 

pub struct CrossCurrencyLeg {
    pub coupons: Leg,
    pub currency: Currency,
    pub collateral: CollateralSpec,
    pub index: Option<String>,
    pub notional: f64,
    pub spread: f64,
}

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

Receive-oriented so that the leg’s own annuity is positive and one valuation serves both sides; the swap subtracts the pay side.

The leg carries its principal exchanges as cashflows: the notional paid out on its first accrual start and taken back on its last accrual end, so the valuation, legs(), the records and a non-deliverable conversion all read one list. A resetting leg’s principal is instead the schedule its resets set, so marking a leg resetting takes its exchanges out.

Fields

coupons: Leg

The coupons, built with Direction::Receive.

currency: Currency

The leg’s currency.

collateral: CollateralSpec

The discount curve key — the leg’s currency collateralised under the swap’s CSA.

index: Option<String>

The projection index a floating leg’s coupons reset against, by registry code; None for a fixed leg, whose rate lives on its coupons and is read through fixed_rate.

notional: f64

The notional exchanged at start and end (and the base for a resetting counterpart).

spread: f64

The spread carried on a floating leg’s coupons, as a decimal; zero on a fixed leg, which quotes a rate instead.

Implementations

impl CrossCurrencyLeg

pub fn new( coupons: Leg, currency: Currency, collateral: CollateralSpec, index: Option<String>, notional: f64, spread: f64, ) -> Self

A leg from a receive-oriented compiled leg: floating on index, or fixed where index is None, exchanging notional at its first accrual start and its last accrual end — unless coupons already carries its exchanges or settles non-deliverably.

pub fn without_initial_exchange(self) -> Self

This leg exchanging its notional at the end alone: its initial exchange, if any, taken out.

pub fn is_fixed(&self) -> bool

Whether this leg is fixed.

pub fn fixed_rate(&self) -> Option<f64>

The fixed rate a fixed leg’s coupons carry; None for a floating leg.

Trait Implementations

impl Clone for CrossCurrencyLeg

fn clone(&self) -> CrossCurrencyLeg

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for CrossCurrencyLeg

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

Formats the value using the given formatter.

impl PartialEq for CrossCurrencyLeg

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