Struct TenorBasisSwap 

pub struct TenorBasisSwap {
    pub currency: Currency,
    pub collateral: CollateralSpec,
    pub spread_index: String,
    pub base_index: String,
    pub spread_leg: Leg,
    pub base_leg: Leg,
    pub spread: f64,
}

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.

Fields

currency: Currency

The swap’s currency.

collateral: CollateralSpec

What both legs are discounted against.

spread_index: String

The spread leg’s index, by registry code.

base_index: String

The base leg’s index, by registry code.

spread_leg: Leg

The spread leg, received, its coupons carrying spread.

base_leg: Leg

The base leg, paid.

spread: f64

The basis spread on the spread leg, as a decimal.

Implementations

impl TenorBasisSwap

pub fn from_template( template: &TenorBasisTemplate, effective: NaiveDate, termination: NaiveDate, notional: f64, spread: f64, ) -> Result<Self, CurveError>

A swap from its template between two dates, at spread on the template’s spread leg.

Errors

CurveError::UnknownIndex if a template’s index code is not a registered term or overnight index, and CurveError::InvertedDates if termination is not after effective.

pub fn from_legs( spread_leg: &TenorBasisLeg, base_leg: &TenorBasisLeg, effective: NaiveDate, termination: NaiveDate, notional: f64, spread: f64, ) -> Result<Self, CurveError>

A swap from two leg conventions between two dates, at spread on spread_leg (received) against base_leg (paid). Both legs generate forward from effective on their own conventions and project over their index’s window. The legs may be a template’s in either order: which index carries the basis is the trade’s, not the template’s.

Errors

CurveError::UnknownIndex if a leg’s index code is not a registered term or overnight index — a template is plain data a user edits, so a mistyped code is reported, not a reason to abort the pricing thread — and CurveError::InvertedDates if termination is not after effective.

Trait Implementations

impl Clone for TenorBasisSwap

fn clone(&self) -> TenorBasisSwap

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for TenorBasisSwap

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

Formats the value using the given formatter.

impl PartialEq for TenorBasisSwap

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

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

The spread leg received on its index’s curve, the base leg paid on its own, both discounted on the collateral curve.

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

The fair basis: the spread on the spread leg that zeroes the swap, s − npv(s) / annuity, off the spread leg’s own annuity — the value is exactly affine in the spread, so this is a division.

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

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

impl PricingRiskFactors for TenorBasisSwap

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

The market data this product is priced against.

impl Product for TenorBasisSwap

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.

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_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.

impl StructuralPartialEq for TenorBasisSwap