Struct OpenRepo 

pub struct OpenRepo {
    pub repo: Repo,
    pub calendar: String,
}

An open repo: booked with no far date, either side able to end it on a business day’s notice. On any day it is the repo that ends on the next business day of its calendar — the cash and its interest from the start, back the day after — and is valued, risked and tabled as that repo.

Fields

repo: Repo

The repo as booked, ending on the business day after its start.

calendar: String

The calendar, by code, its next business day is counted on.

Implementations

impl OpenRepo

pub fn new(repo: Repo, calendar: impl Into<String>) -> Result<Self, RepoError>

repo held open, its far date rolled on calendar (a calendar code). The booked far date is replaced: the repo ends on the business day after its start until a later valuation moves it.

Errors

RepoError::Malformed for interim interest dates, which an open repo has none of; otherwise as rebuilding the repo to that end.

pub fn on(&self, as_of: NaiveDate) -> Result<Repo, RepoError>

The repo this one is on as_of: ending on the first business day after as_of, or after its start before it starts.

Errors

As Repo::from_collateral on that far date — a collateral maturing by then, above all.

impl OpenRepo

fn dated(&self, as_of: NaiveDate) -> Result<Repo, PricingError>

Trait Implementations

impl Clone for OpenRepo

fn clone(&self) -> OpenRepo

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for OpenRepo

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

Formats the value using the given formatter.

impl PartialEq for OpenRepo

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

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

The repo ending on the next business day after the valuation.

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

The rate at which that repo is worth nothing.

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

That repo’s par spread.

impl PricingRiskFactors for OpenRepo

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

The repo’s own: its far date changes nothing it reads.

impl Product for OpenRepo

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 OpenRepo