Struct ZeroCouponInflationSwap 

pub struct ZeroCouponInflationSwap {

    pub currency: Currency,
    pub index: String,
    pub collateral: CollateralSpec,
    pub base_date: NaiveDate,
    pub maturity: NaiveDate,
    pub notional: f64,
    pub fixed_rate: f64,
    pub fixed_day_count: DayCountFraction,
    pub fixed_compounding: AccrualCompounding,
    pub lag_months: u32,
    pub side: f64,
    pub base_index: Option<f64>,
    pub interpolation: Option<IndexInterpolation>,
}

A zero-coupon inflation swap: one payment each side at maturity, the inflation side paying the index’s growth over the swap’s life and the fixed side the growth its rate implies.

It holds two dates, not a base level. A base index frozen onto the trade would be a market observation stored as contract data — the same mistake IborCoupon documents for a published fixing — and it would put the swap’s ratio on a different footing from the linker’s, which reads its observation from the view. Both dates are observed through PricingView::observed_index_level, so a printed fixing at either end displaces the curve on exactly the rule a linker applies.

Fields

currency: Currency

The swap’s currency.

index: String

The price index, by registry code.

collateral: CollateralSpec

What the swap is collateralised against.

base_date: NaiveDate

The base date: the flow date whose lagged observation is the denominator of the swap’s index ratio.

maturity: NaiveDate

Maturity: the single payment date of both sides, and the flow date whose lagged observation is the numerator.

notional: f64

The notional.

fixed_rate: f64

The fixed rate, as a decimal.

fixed_day_count: DayCountFraction

The fixed side’s day count over the whole life.

fixed_compounding: AccrualCompounding

How the fixed rate accrues over the life. Compounded is the quoted convention: a ZCIS is quoted as an annually compounded rate.

lag_months: u32

The indexation lag, in whole months — the same rule a linker’s is.

side: f64

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

base_index: Option<f64>

An agreed base index level, the ratio’s denominator in place of the observed base. None observes it.

interpolation: Option<IndexInterpolation>

How each observation reads inside the month, where the trade states its own convention. None reads the index’s registered one.

Implementations

impl ZeroCouponInflationSwap

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 on index, from base_date to maturity.

pub fn with_base_index(self, level: f64) -> Self

This swap’s index ratio over the agreed base level level rather than the level observed for its base date.

pub fn with_interpolation(self, interpolation: IndexInterpolation) -> Self

This swap observing its index under interpolation rather than the index’s registered convention.

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, compounding: AccrualCompounding, ) -> Self

Sets the fixed side’s day count and compounding.

pub fn fixed_year_fraction(&self) -> f64

The fixed side’s year fraction over the whole life.

impl ZeroCouponInflationSwap

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

The index ratio the swap pays on: the level observed for maturity over the level observed for the base date, or over the agreed base level where the swap states one.

Errors

The product error if the view carries no inflation curve and no fixing covers an observation; otherwise whatever the curve reports.

pub fn fixed_amount(&self, rate: f64) -> f64

The fixed side’s terminal amount at rate: N · (growth − 1) under the swap’s compounding over its whole life — the same shape a ZeroCouponSwap’s fixed side takes.

Trait Implementations

impl Clone for ZeroCouponInflationSwap

fn clone(&self) -> ZeroCouponInflationSwap

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for ZeroCouponInflationSwap

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

Formats the value using the given formatter.

impl PartialEq for ZeroCouponInflationSwap

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

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

side · (N·(ratio − 1) − fixed) · DF(maturity); nothing once the payment date has passed.

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

The breakeven inflation rate: the fixed rate whose terminal accrual matches the index’s growth. Both sides pay on the same date, so the discount factor cancels and the inversion is closed-form.

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

Unsupported: a zero-coupon inflation swap is quoted as a rate, and a margin over an index ratio is not a spread any contract carries.

impl PricingRiskFactors for ZeroCouponInflationSwap

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

The market data this product is priced against.

impl Product for ZeroCouponInflationSwap

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 ZeroCouponInflationSwap