Struct ClaimTerms 

pub(crate) struct ClaimTerms<R: Scalar> {
    pub(crate) bond_flows: Vec<(NaiveDate, f64)>,
    pub(crate) periods: Vec<(NaiveDate, NaiveDate, NaiveDate, R)>,
    pub(crate) floating_notional: f64,
    pub(crate) strike: R,
}

The bank’s claim on the SPV as a riskless coupon bond, per default date: the collateral’s flows after the date, less the spread and today’s projection basis on every floating coupon starting at or after it; struck at N_f + R·N, the N_f being what the floating leg’s index part with its final notional is worth at a reset.

Fields

bond_flows: Vec<(NaiveDate, f64)>

The collateral’s flows after today, in currency.

periods: Vec<(NaiveDate, NaiveDate, NaiveDate, R)>

Each floating coupon still to pay: accrual start, accrual end, payment date, and its spread plus basis amount on the floating notional.

floating_notional: f64

The floating notional N_f.

strike: R

N_f + R·N.

Implementations

impl<R: Scalar> ClaimTerms<R>

pub(crate) fn of( note: &RepackNote, view: &PricingView<'_, R>, recovery: R, ) -> Result<Self, PricingError>

The claim terms of note on view, at the issuer’s recovery.

pub(crate) fn default_dates(&self) -> Vec<NaiveDate>

The default dates: each floating period end still to come.

pub(crate) fn flows_after(&self, t_date: NaiveDate) -> Vec<(NaiveDate, R)>

The claim bond’s flows after t_date.