Struct FxIndex 

pub struct FxIndex {
    pub name: String,
    pub base: Currency,
    pub quote: Currency,
    pub fixing_calendar: Arc<dyn Calendar>,
    pub settlement_calendar: Option<Arc<dyn Calendar>>,
    pub fixing_lag_days: u8,
}

An FX fixing index: the pair it observes and its settlement (spot) conventions — fixing_calendar / fixing_lag_days, dating when a spot or forward trade’s cash moves, the lag between a fixing and its value date.

Fields

name: String

Index identifier — the fixing-store key (canonically "FX-EURUSD").

base: Currency

Base currency of the pair (fixings are quote per 1 base).

quote: Currency

Quote currency of the pair.

fixing_calendar: Arc<dyn Calendar>

The calendar the fixing lag is counted on.

settlement_calendar: Option<Arc<dyn Calendar>>

A second calendar the value date must also be a business day of (the USD spot rule: count on the pair’s centres, settle on a New York business day). None settles on fixing_calendar alone.

fixing_lag_days: u8

Settlement (spot) lag in business days between fixing date and value date.

Implementations

impl FxIndex

pub fn canonical_name(base: &Currency, quote: &Currency) -> String

The canonical index identifier for a pair: "FX-{BASE}{QUOTE}".

pub fn new( base: Currency, quote: Currency, fixing_calendar: Arc<dyn Calendar>, fixing_lag_days: u8, ) -> Self

An index with explicit settlement conventions and the canonical name.

pub fn with_settlement_calendar(self, settlement: Arc<dyn Calendar>) -> Self

The same index, its value dates also good on settlement.

pub fn pair_code(&self) -> String

The vendor-style pair symbol, e.g. "EURUSD".

pub fn value_date(&self, fixing_date: NaiveDate) -> NaiveDate

The value (settlement) date for a fixing observed on fixing_date: the fixing lag counted in business days on the fixing calendar, rolled following onto a business day of that calendar and, when one is set, of the settlement calendar.

pub fn spot_fixing_date(&self, value_date: NaiveDate) -> NaiveDate

The settlement-convention fixing date for a settlement on value_date: the value date (adjusted preceding onto the fixing calendar if needed) rolled back the spot lag in business days. Inverse of value_date up to that roll. This dates a settlement fixing (an NDF’s netting observation).

Trait Implementations

impl Clone for FxIndex

fn clone(&self) -> FxIndex

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for FxIndex

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

Formats the value using the given formatter.