Struct CdsTemplate 

pub struct CdsTemplate {

    pub name: String,
    pub calendar: Arc<dyn Calendar>,
    pub business_day_convention: BusinessDayConvention,
    pub day_count: DayCountFraction,
    pub frequency: Frequency,
    pub date_generation: DateGenerationRule,
    pub roll: RollConvention,
    pub spot_lag: Period,
    pub payment_lag: Period,
    pub payment_calendar: Option<Arc<dyn Calendar>>,
    pub standard_coupon: f64,
    pub seniority: Seniority,
    pub doc_clause: DocClause,
}

The conventions of a standard credit default swap.

Fields

name: String

Template name (doubles as registry code).

calendar: Arc<dyn Calendar>

Coupon-leg calendar (weekend-only for standard CDS accrual).

business_day_convention: BusinessDayConvention

Business-day convention.

day_count: DayCountFraction

Coupon day-count.

frequency: Frequency

Coupon frequency.

date_generation: DateGenerationRule

Schedule date-generation rule (CDS).

roll: RollConvention

Coupon roll (twentieth-IMM).

spot_lag: Period

Spot lag to the step-in date — the first day of protection — in calendar days, as the ISDA standard model counts it: one for the standard contract, so a Friday trade is protected from the Saturday.

payment_lag: Period

Payment lag: accrual end → coupon pay date, in business days on the payment calendar. Standard CDS pay at accrual end (zero lag); the field exists for non-standard bilateral terms.

payment_calendar: Option<Arc<dyn Calendar>>

Calendar the payment lag rolls on; None defaults to the schedule calendar.

standard_coupon: f64

Standard fixed running coupon (decimal), the CDS2015 trading convention (e.g. 100bp for IG). A built CDS defaults to this coupon plus an upfront, rather than being struck at par.

seniority: Seniority

The seniority a standard contract on this template references — senior unsecured for every shipped template. Required: the identity a contract is keyed by carries no default, so the template states it.

doc_clause: DocClause

The documentation clause a standard contract on this template trades under: XR14 for the North American standard, MM14 for the European. Required, for the same reason.

Implementations

impl CdsTemplate

pub fn reference( &self, spelling: &str, ) -> Result<ReferenceEntity, CreditIdParseError>

The reference entity a contract on this template names by spelling: a full ENTITY/SENIORITY/DOCCLAUSE spelling as given, or a bare entity on this template’s standard seniority and documentation clause — the template, not the identity, carries the default.

Errors

CreditIdParseError for a full spelling that does not parse.

pub fn with_spot_lag(self, days: i32) -> Self

Overrides the spot lag to the step-in date (calendar days) — builder-style, for booking a non-standard convention set off a built-in template.

pub fn with_payment_lag(self, days: i32) -> Self

Overrides the payment lag (business days). Standard CDS pay at accrual end (zero lag); nonzero expresses non-standard bilateral terms.

pub fn with_payment_calendar(self, calendar: Arc<dyn Calendar>) -> Self

Overrides the calendar the payment lag rolls on (default: the schedule calendar).

pub fn payment_calendar_or_schedule(&self) -> Arc<dyn Calendar>

The calendar the payment lag rolls on: the explicit payment calendar when set, else the schedule calendar.

Trait Implementations

impl Clone for CdsTemplate

fn clone(&self) -> CdsTemplate

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl From<CdsTemplate> for AnyTemplate

fn from(t: CdsTemplate) -> Self

Converts to this type from the input type.