Struct CmsSwap 

pub struct CmsSwap {
    pub index: SwapIndex,
    pub periods: Vec<CmsPeriod>,
    pub notional: f64,
    pub gearing: f64,
    pub spread: f64,
    pub mean_reversion: f64,
    pub direction: Direction,
    pub other: Leg,
    pub payoff: Option<RatePayoff>,
    projection: String,
    others: Vec<String>,
}

A CMS swap: a leg paying N·τ·(g·CMS + s) per period — the swap index’s CMS rate fixing in advance — against any other leg on the opposite side.

The mean reversion the linear TSR slope is taken at is carried by the trade.

Fields

index: SwapIndex

The swap the CMS rate observes.

periods: Vec<CmsPeriod>

The CMS leg’s periods, in order.

notional: f64

The CMS leg’s notional.

gearing: f64

Multiplier on the CMS rate.

spread: f64

Added to the geared CMS rate, as a decimal.

mean_reversion: f64

The mean reversion the convexity adjustment’s slope is taken at.

direction: Direction

The CMS leg’s side.

other: Leg

The other leg, on the opposite side.

payoff: Option<RatePayoff>

An option every CMS coupon carries on its rate g·CMS + s — a cap and floor, or a digital — or None for a plain leg.

projection: String

others: Vec<String>

The indices the other leg reads beside the swap index’s own.

Implementations

impl CmsSwap

pub fn new( index: SwapIndex, schedule: &Schedule, day_count: DayCountFraction, notional: f64, gearing: f64, spread: f64, mean_reversion: f64, direction: Direction, other: Leg, ) -> Result<Self, CmsSwapError>

A CMS leg over schedule on index, accruing on day_count, against other. Each period fixes the swap index’s fixing lag before it starts and pays on its end.

Errors

CmsSwapError for a schedule of fewer than two dates or two legs on one side.

pub fn with_payoff(self, payoff: RatePayoff) -> Result<Self, PayoffError>

This swap with payoff on every CMS coupon’s rate g·CMS + s: a collar caps and floors it, a digital pays on it — each an option on the CMS rate at (K − s)/g, times |g|, replicated by cms_option, as an IBOR coupon’s payoff reads its index.

Errors

PayoffError when the payoff is not one.

pub fn with_spread(self, spread: f64) -> Self

This swap with its CMS leg at spread.

pub fn currency(&self) -> Currency

The currency the swap pays in: its index’s.

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

The index the other leg reads besides the swap index’s own, if any. The CMS leg: its value and its annuity (the value of one unit of spread), each signed by the leg’s side.

Trait Implementations

impl Clone for CmsSwap

fn clone(&self) -> CmsSwap

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for CmsSwap

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

Formats the value using the given formatter.

impl PartialEq for CmsSwap

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

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

The spread on the CMS leg that values the swap at zero: the value less the leg’s spread over the leg’s annuity.

A leg carrying a payoff is not affine in its spread, so it has none.

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

Present value against the resolved market view.

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

The par rate — the fixed rate at which the product is worth nothing.

impl PricingRiskFactors for CmsSwap

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

The market data this product is priced against.

impl Product for CmsSwap

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 CmsSwap