Struct FloatingBondStatic 

pub struct FloatingBondStatic {

    pub instrument_id: String,
    pub index: IborIndex,
    pub quoted_margin: f64,
    pub gearing: f64,
    pub fixing_lag: u16,
    pub face_amount: f64,
    pub issue: NaiveDate,
    pub maturity: NaiveDate,
    pub seniority: Option<Seniority>,
    pub credit_entity: Option<CreditCurveId>,
    pub calc_type: Option<u16>,
    pub coupon_step_days: Option<u16>,
    pub repo_group: Option<String>,
}

The quote-less FpML reference definition of a floating-rate note (FRN).

The fixed BondStatic minus coupon_rate, plus the floating fields: the index, the quoted margin (FpML spread), the gearing (FpML floatingRateMultiplier), and the fixing lag (FpML fixingDateOffset). Its coupon_type is CouponType::Float. Materialised by FloatingRateBond::from_static; resolvable through the Securities.

Fields

instrument_id: String

Security identifier (FpML instrumentId, ISIN scheme).

index: IborIndex

The floating index the coupons reference (carries currency, tenor, day-count, fixing calendar, and fixing lag).

quoted_margin: f64

Quoted margin over the index (FpML spread, decimal).

gearing: f64

Gearing / leverage (FpML floatingRateMultiplier); 1 for a vanilla FRN.

fixing_lag: u16

Fixing lag in business days (FpML fixingDateOffset).

face_amount: f64

Redeemed par (FpML faceAmount).

issue: NaiveDate

First accrual date.

maturity: NaiveDate

Maturity / redemption date.

seniority: Option<Seniority>

Repayment seniority (FpML creditSeniority), if tagged.

credit_entity: Option<CreditCurveId>

The issuer’s credit key (see BondStatic::credit_entity).

calc_type: Option<u16>

The vendor DES calc-type code (see BondStatic::calc_type); resolved fail-loud (including instrument-kind checks) at materialisation.

coupon_step_days: Option<u16>

Day-based coupon chain (see BondStatic::coupon_step_days).

repo_group: Option<String>

The financing/repo group (see BondStatic::repo_group).

Implementations

impl FloatingBondStatic

pub fn new( instrument_id: impl Into<String>, index: IborIndex, quoted_margin: f64, face_amount: f64, issue: NaiveDate, maturity: NaiveDate, ) -> Self

Builds a floating-rate BondStatic from its FpML reference fields. gearing defaults to 1 and the fixing lag to the index’s own fixing_lag_days via Self::new; override with the with_* setters.

pub fn currency(&self) -> &str

The currency of the floating bond (the index currency).

pub fn coupon_type(&self) -> CouponType

This is a floating-coupon security (FpML couponType = "Float").

pub fn with_calc_type(self, code: u16) -> Self

Sets the vendor calc-type code (resolved fail-loud, kind-checked, at materialisation).

pub fn with_coupon_step_days(self, days: u16) -> Self

Sets the day-based coupon chain (e.g. 91 for a Turkish 91-day FRN).

pub fn with_gearing(self, gearing: f64) -> Self

Sets the gearing / leverage (FpML floatingRateMultiplier).

pub fn with_fixing_lag(self, lag: u16) -> Self

Sets the fixing lag in business days (FpML fixingDateOffset).

pub fn with_seniority(self, seniority: Seniority) -> Self

Sets the repayment seniority (FpML creditSeniority).

pub fn with_credit_entity(self, credit: CreditCurveId) -> Self

Tags the issuer’s credit key (see BondStatic::with_credit_entity).

pub fn with_repo_group(self, group: impl Into<String>) -> Self

Tags the financing/repo group (see BondStatic::repo_group).

Trait Implementations

impl Clone for FloatingBondStatic

fn clone(&self) -> FloatingBondStatic

Returns a duplicate of the value.

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

Performs copy-assignment from source.