Struct OvernightIndexedSwap 

pub struct OvernightIndexedSwap {
    pub fixed: Leg,
    pub floating: Leg,
    pub currency: Currency,
    pub index: String,
    pub collateral: CollateralSpec,
    pub stated_dates: Option<StatedDates>,
    pub foreign_collateral: Option<CollateralSpec>,
}

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

Structurally the same pair of legs as VanillaSwap; what differs is the floating leg’s coupon kind, which is the leg’s business rather than the swap’s. It is a separate type because the two are separate products with separate conventions, not because the pricing differs.

Fields

fixed: Leg

The fixed leg.

floating: Leg

The overnight-compounded leg.

currency: Currency

The swap’s currency.

index: String

The overnight index the floating leg observes.

collateral: CollateralSpec

What the swap is collateralised against.

stated_dates: Option<StatedDates>

The unadjusted dates the swap’s schedule was generated from, where it was built from dates rather than assembled from legs. A swap rebuilt from them generates the same schedule, which its adjusted accrual dates would not promise: a rolled termination can generate a stub.

foreign_collateral: Option<CollateralSpec>

For a non-deliverable swap, the key of its own currency’s discount curve under the settlement currency’s collateral — the curve its payments convert at the parity forward on; None for a swap paid in its own currency.

Implementations

impl OvernightIndexedSwap

pub fn new( fixed: Leg, floating: Leg, currency: Currency, index: impl Into<String>, collateral: CollateralSpec, ) -> Self

A swap from two compiled legs.

pub fn settled_in( self, settlement: Currency, fx_index: impl Into<FixingSource>, fixed_fixings: Vec<Conversion>, floating_fixings: Vec<Conversion>, ) -> Result<Self, NonDeliverableError>

This swap settling non-deliverably in settlement: each leg’s payments converted at the fx_index fixing on the matching date — one per payment, fixed leg then floating — discounted on settlement’s curve, the conversion’s forward read off this currency’s curve under settlement collateral.

Errors

NonDeliverableError as Leg::with_non_deliverable refuses either leg.

pub fn with_stated_dates( self, effective: NaiveDate, termination: NaiveDate, ) -> Self

This swap stating the unadjusted dates its schedule was generated from.

impl OvernightIndexedSwap

fn floating_curves<'v, R: Scalar>( &self, view: &'v PricingView<'_, R>, fwd: &'v OneCurve<'v, R>, ) -> &'v dyn CurveByIndex<R>

The source the floating leg reads: the view when its coupons carry options, which read the cap vols; the one curve otherwise.

Trait Implementations

impl Clone for OvernightIndexedSwap

fn clone(&self) -> OvernightIndexedSwap

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for OvernightIndexedSwap

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

Formats the value using the given formatter.

impl PartialEq for OvernightIndexedSwap

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

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

Present value against the resolved market view.

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

The par rate — the fixed rate at which the product is worth nothing.

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 OvernightIndexedSwap

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

Discounting and the index’s projection, and the currency’s cap vols when the floating leg carries options on its rates.

impl Product for OvernightIndexedSwap

fn currency(&self) -> Currency

The currency the swap pays in: its own, or the settlement currency a non-deliverable swap converts every payment into.

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 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 OvernightIndexedSwap