Struct YoyInflationSwap 

pub struct YoyInflationSwap {
    pub currency: Currency,
    pub index: String,
    pub collateral: CollateralSpec,
    pub dates: Vec<NaiveDate>,
    pub notional: f64,
    pub fixed_rate: f64,
    pub day_count: DayCountFraction,
    pub lag_months: u32,
    pub side: f64,
}

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.

The same observation rule as the zero-coupon swap, applied once per period rather than once over the life — which is the only difference between them.

Fields

currency: Currency

The swap’s currency.

index: String

The price index, by registry code.

collateral: CollateralSpec

What the swap is collateralised against.

dates: Vec<NaiveDate>

The period boundaries: n + 1 dates delimiting n annual periods. The first is the base observation and pays nothing; each of the rest is both its period’s observation and its payment date.

notional: f64

The notional.

fixed_rate: f64

The fixed rate, as a decimal.

day_count: DayCountFraction

The accrual day count each period’s year fraction is taken on.

lag_months: u32

The indexation lag, in whole months.

side: f64

+1 pays the fixed rate and receives inflation; −1 the reverse.

Implementations

impl YoyInflationSwap

pub fn new( currency: Currency, index: impl Into<String>, base_date: NaiveDate, maturity: NaiveDate, notional: f64, fixed_rate: f64, lag_months: u32, ) -> Self

A payer of the fixed rate, over annual periods from base_date up to and including maturity.

The boundaries are generated by the crate’s own calendar-blind period arithmetic and are unadjusted: an inflation observation is a month’s published number, so rolling its date to a business day changes nothing it reads. A caller wanting adjusted payment dates supplies the dates directly through from_dates.

A maturity on or before base_date yields a swap with no periods, which values at zero.

pub fn from_dates( currency: Currency, index: impl Into<String>, dates: Vec<NaiveDate>, notional: f64, fixed_rate: f64, lag_months: u32, ) -> Self

A swap over caller-supplied boundaries: n + 1 dates for n periods.

pub fn receiver(self) -> Self

The side receiving the fixed rate and paying inflation.

pub fn with_fixed_rate(self, fixed_rate: f64) -> Self

Sets the fixed rate.

pub fn accruing(self, day_count: DayCountFraction) -> Self

Sets the accrual day count.

pub fn periods(&self) -> Vec<(NaiveDate, NaiveDate, f64)>

The periods, as (observation start, observation end, year fraction).

One walk, so the valuation and the par rate cannot disagree about how many periods there are or what each accrues.

impl YoyInflationSwap

fn walk<R: Scalar>( &self, view: &PricingView<'_, R>, ) -> Result<Vec<(R, f64, R)>, PricingError>

One walk over the periods still to pay: each one’s annual index ratio, its year fraction and its pay-date discount factor.

The valuation and the par rate both read this, so they cannot disagree about which periods are live or what each observes.

Errors

As ZeroCouponInflationSwap::index_ratio.

Trait Implementations

impl Clone for YoyInflationSwap

fn clone(&self) -> YoyInflationSwap

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for YoyInflationSwap

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

Formats the value using the given formatter.

impl PartialEq for YoyInflationSwap

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

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

side · Σ N·τ_i·((ratio_i − 1) − K) · DF(end_i) over the periods still to pay.

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

The fixed rate that values the swap at zero: the annuity-weighted average of the periods’ index growth.

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

Unsupported: the swap is quoted as a rate, and its floating side carries no margin a breakeven would be taken over.

impl PricingRiskFactors for YoyInflationSwap

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

The market data this product is priced against.

impl Product for YoyInflationSwap

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.

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 YoyInflationSwap