Struct SwapIndex 

pub struct SwapIndex {
    template: SwapTemplate,
    tenor: Period,
    collateral: CollateralSpec,
}

The swap a CMS rate observes: a registered fixed-versus-IBOR swap template and a tenor.

Fields

template: SwapTemplate

tenor: Period

collateral: CollateralSpec

Implementations

impl SwapIndex

pub fn new(template: &str, tenor: Period) -> Result<Self, SwapIndexError>

The swap index on template (a registered fixed-versus-IBOR swap template code) at tenor.

Errors

SwapIndexError::NotAFixedIborTemplate for any other code.

Panics

If a registered template’s floating index carries a currency code that is not ISO 4217, which the registry does not hold.

pub fn code(&self) -> String

The key the index’s published rates are stored and read under: the template’s code and the tenor in its largest exact unit, so a 12M and a 1Y index read the same prints — "EUR-EURIBOR-6M-IRS-10Y".

pub fn projection(&self) -> String

The index the swap’s floating leg projects.

pub fn risk_factors<'a>(&'a self, projection: &'a str) -> RiskFactors<'a>

What a CMS rate on this index is priced against: the currency’s cash discount curve, the floating index’s projection and the currency’s swaption vols.

pub fn underlying(&self, fixing: NaiveDate) -> Result<VanillaSwap, PricingError>

The swap the index observes at fixing: from the fixing’s spot date to that date plus the tenor, built from the template as its own swaps are.

Errors

PricingError if the template cannot build the swap.

Trait Implementations

impl Clone for SwapIndex

fn clone(&self) -> SwapIndex

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for SwapIndex

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

Formats the value using the given formatter.

impl From<&SwapIndex> for FixingKey

fn from(index: &SwapIndex) -> Self

The index in hand: its prints are stored under SwapIndex::code.

impl PartialEq for SwapIndex

fn eq(&self, other: &Self) -> bool

A swap index is resolved from the registry by its template’s name, so the name and the tenor are the whole of its identity.

fn ne(&self, other: &Rhs) -> bool

Tests for !=. The default implementation is almost always sufficient, and should not be overridden without very good reason.