Module fixings 

Observed index fixings.

A published fixing is a market observation, not a contract term, so it is differentiable like any other market input: a coupon whose reset has already happened still carries a sensitivity to the number that reset at. That is the line this layer draws — the trade holds which index it references and on what date, and the market holds what the index printed.

Structs

FixingHistory

Every print a market has seen, each with the date it was known on.

FixingStore

Published fixings, keyed by index and date.

FixingsView

A FixingStore lifted into one pricing mode.

Version 🔒

One version of a print.

Enums

FixingKey

What an observation may be keyed under.

FixingSource

Where a cash settlement’s fixing comes from: one FX series, or the cross of two series through USD — EMTA’s Cross Currency Settlement Rate, the reference currency’s rate crossed with the settlement currency’s, both for the one valuation date.

FixingSourceError

Why two keys make no cross.

Functions

dividend_key

The fixing key an equity’s dividends publish under, one print per ex-date.

equity_key

The fixing key an equity’s historical prices publish under.

fixing_code 🔒

The key an index’s fixings are stored and read under — a coupon’s own index field, which the two rate kinds write as their registry code().

is_dividend_key 🔒

Whether key names an equity’s dividends: DIV- and the equity’s name, each print dated on its ex-date. A namespace with no registry, as EQ- is.

is_equity_key 🔒

Whether key names an equity’s price fixing: EQ- and the equity’s name. Like FX, a namespace with no registry behind it.

is_swap_index_key 🔒

Whether key names a swap index as SwapIndex::code writes it: a registered fixed-versus-IBOR swap template’s code in its registered casing, a hyphen, and the tenor in its largest exact unit ("EUR-EURIBOR-6M-IRS-10Y"). A CMS coupon reads its print under that key, so membership is checked through the template registry, as a rate index’s is through the index registry.

is_well_formed_fx_key 🔒

Whether key is a well-formed FX fixing key: "FX-{BASE}{QUOTE}" with both halves real currency codes, the spelling FxIndex::canonical_name produces.

non_usd_of 🔒

The non-USD currency of an FX key against USD, or None for a key that is not one.

usd_is_base 🔒

Whether an FX key quotes its pair with USD as base (FX-USDKRW).