Struct SecuritiesLoan 

pub struct SecuritiesLoan {
    pub loan: Repo,
    pub fee: f64,
    pub cash_collateral: bool,
}

A securities loan: a bond lent for a fee on its market value, accrued each day on the day count and paid at the end of each of the loan’s interest periods — monthly where the repo carries monthly interest dates, else once at the end — against collateral. Cash collateral is a repo at the rebate the lender pays on it — the lender of the bond is the borrower of the cash — and other bonds as collateral change hands and come back, worth nothing on the loan.

It is carried by loan, the repo that lends the bond: its side (Repo for the lender of the bond), dates, interest dates, day count, bond, nominal and financing keys, at the rebate for cash collateral, which pays on the same dates as the fee.

Fields

loan: Repo

The repo that lends the bond, at the rebate for cash collateral.

fee: f64

The lending fee, a simple annual rate on the bond’s dirty value.

cash_collateral: bool

Whether the collateral is cash, valued as the repo at the rebate; otherwise it is other securities, which value nothing on the loan.

Implementations

impl SecuritiesLoan

pub fn new( loan: Repo, fee: f64, cash_collateral: bool, ) -> Result<Self, RepoError>

loan lending its bond for fee, against cash at the loan’s rate (the rebate) when cash_collateral, or against other securities.

Errors

RepoError::Malformed for a fee that is not finite, or a cross-currency or buy/sell-back loan.

pub fn fee_sign(&self) -> f64

+1 for the lender of the bond, who earns the fee; −1 for the borrower.

impl SecuritiesLoan

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

The fee still to be paid: per interest period, fee · N/100 · Σ τ_d·F(d) over its days, F(d) the bond’s forward dirty price on its financing curve, discounted from the period’s end. A period paid by today is gone; a day already past accrues on today’s price.

Trait Implementations

impl Clone for SecuritiesLoan

fn clone(&self) -> SecuritiesLoan

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for SecuritiesLoan

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

Formats the value using the given formatter.

impl PartialEq for SecuritiesLoan

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

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

The fee, and against cash the repo at the rebate.

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 SecuritiesLoan

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

The loan’s repo’s: its discount curve, and the financing curve the bond’s forward value is carried on.

impl Product for SecuritiesLoan

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 SecuritiesLoan