Struct ForwardRateAgreement 

pub struct ForwardRateAgreement {
    pub index: String,
    pub currency: Currency,
    pub collateral: CollateralSpec,
    pub accrual_start: NaiveDate,
    pub accrual_end: NaiveDate,
    pub fixing_date: NaiveDate,
    pub day_count: DayCountFraction,
    pub notional: f64,
    pub struck_rate: f64,
    pub side: f64,
}

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

The fixing date is a stored contract term, as an NDF’s is: computed once from the index’s lag and calendar by from_template, and compared with the valuation date at pricing to decide whether the published fixing or the projected forward is the contract’s rate.

Fields

index: String

The term index the contract fixes on, by registry code.

currency: Currency

The contract’s currency.

collateral: CollateralSpec

What the settlement is discounted against.

accrual_start: NaiveDate

Accrual start — also the settlement date.

accrual_end: NaiveDate

Accrual end.

fixing_date: NaiveDate

The date the contract’s rate is fixed on.

day_count: DayCountFraction

The accrual day count.

notional: f64

The notional.

struck_rate: f64

The struck (contract) rate, as a decimal.

side: f64

+1 pays the struck rate and receives the index — long the rate, the same orientation as a payer swap; −1 the reverse.

Implementations

impl ForwardRateAgreement

pub fn new( index: impl Into<String>, currency: Currency, accrual_start: NaiveDate, accrual_end: NaiveDate, fixing_date: NaiveDate, day_count: DayCountFraction, notional: f64, struck_rate: f64, ) -> Self

A FRA paying the struck rate, collateralised in its own currency.

pub fn from_template( template: &FraTemplate, valuation: NaiveDate, forward_start: Option<Period>, notional: f64, struck_rate: f64, ) -> Self

A FRA from its template: the accrual starts at the spot date (the valuation advanced by the index’s fixing lag) advanced by forward_start, and ends one index period later; the fixing date is the start less the fixing lag. A 6x9 is forward_start = 6M.

pub fn receiver(self) -> Self

The side receiving the struck rate.

pub fn year_fraction(&self) -> f64

The accrual year fraction.

Trait Implementations

impl Clone for ForwardRateAgreement

fn clone(&self) -> ForwardRateAgreement

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for ForwardRateAgreement

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

Formats the value using the given formatter.

impl PartialEq for ForwardRateAgreement

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

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

The settlement discounted from the accrual start; a contract whose settlement date has passed has cash-settled and is worth nothing.

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

The fair rate: the contract rate, at which the settlement is zero.

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 ForwardRateAgreement

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

The market data this product is priced against.

impl Product for ForwardRateAgreement

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 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 ForwardRateAgreement