Struct RateConvention 

pub struct RateConvention {
    pub day_count: DayCountFraction,
    pub compounding: Compounding,
    pub frequency: Frequency,
}

A rate quotation convention: the (day_count, compounding, frequency) triple that determines how a rate relates to a discount factor over a period.

frequency is read only when compounding is Compounding::Compounded; for Compounding::Simple and Compounding::Continuous it is ignored.

Fields

day_count: DayCountFraction

How the accrual period is measured.

compounding: Compounding

How interest accrues over the period.

frequency: Frequency

The compounding frequency (used only for Compounding::Compounded).

Implementations

impl RateConvention

pub fn new( day_count: DayCountFraction, compounding: Compounding, frequency: Frequency, ) -> Self

Builds a rate convention from its components.

pub fn rate_from_discount<R: Real<Passive = f64>>(&self, df: R, tau: f64) -> R

The rate implied by a discount factor df over a year fraction tau, under this convention’s compounding. Returns 0 for tau <= 0.

Generic in the AD mode: df may be a passive f64, a forward dual, or a tape-registered reverse-mode scalar, and the rate comes back in the same mode. The conversion is the same arithmetic either way — only the caller decides whether a derivative rides along.

pub fn discount_from_rate<R: Real<Passive = f64>>(&self, rate: R, tau: f64) -> R

The discount factor implied by a rate rate over a year fraction tau, under this convention’s compounding. Returns 1 for tau <= 0.

The inverse of rate_from_discount, and generic in the AD mode for the same reason.

Trait Implementations

impl Clone for RateConvention

fn clone(&self) -> RateConvention

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Copy for RateConvention

impl Debug for RateConvention

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

Formats the value using the given formatter.

impl Eq for RateConvention

impl PartialEq for RateConvention

fn eq(&self, other: &RateConvention) -> 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 StructuralPartialEq for RateConvention