Struct TriPartyRepo 

pub struct TriPartyRepo {
    pub cash_leg: Repo,
    pub allocation: Vec<TriPartyAllocation>,
}

A tri-party repo: cash against a basket an agent allocates under a collateral schedule. The cash leg is a repo’s, financed on the schedule’s repo curve then the currency’s general collateral; the agent manages the basket’s coupons and substitutions, so the leg carries none, and the allocation is margined at market net of its haircuts.

Fields

cash_leg: Repo

The cash leg, as a repo with no coupons of its own.

allocation: Vec<TriPartyAllocation>

The basket the agent has allocated.

Implementations

impl TriPartyRepo

pub fn new( terms: RepoTerms, cash: f64, schedule: &str, allocation: Vec<TriPartyAllocation>, ) -> Result<Self, RepoError>

cash lent or borrowed on terms under the collateral schedule (its repo curve key), against allocation.

Errors

RepoError::Malformed for an empty allocation, a bond in another currency or maturing within the term, a nominal that is not positive, or a haircut outside [0, 1); otherwise as Repo::from_cash.

impl TriPartyRepo

pub fn margin(&self, market: &MarketContext) -> Result<RepoMargin, PricingError>

The margin position on market: the exposure the cash leg carries, against the allocation at its dirty value on its discount curve, each bond counted net of its haircut. required is the exposure plus the haircuts, so excess is the haircut value less the exposure, and haircut the basket’s value-weighted one.

Errors

As Priceable::npv.

Trait Implementations

impl Clone for TriPartyRepo

fn clone(&self) -> TriPartyRepo

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for TriPartyRepo

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

Formats the value using the given formatter.

impl PartialEq for TriPartyRepo

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

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

The cash leg on the schedule’s repo curve.

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 TriPartyRepo

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

The cash leg’s: the schedule’s repo curve, then general collateral.

impl Product for TriPartyRepo

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 TriPartyRepo