Struct CreditIndexTemplate 

pub struct CreditIndexTemplate {
    pub family: String,
    pub currency: String,
    pub standard_coupon: f64,
    pub standard_recovery: f64,
    pub cds: CdsTemplate,
    pub anchor: (u32, NaiveDate),
}

The conventions of a credit index family (CDX / iTraxx): the underlying homogeneous-pool CDS conventions plus the family’s standard coupon and standard recovery assumption. Booked through the index CDS builders, which take the family, the series and, for a CDO tranche, the attachment points; also constructible directly on the instruments.

Fields

family: String

Family name, e.g. "CDX.NA.IG" or "ITRAXX.EUROPE".

currency: String

Contract currency (ISO 4217).

standard_coupon: f64

Standard fixed running coupon (decimal; 100bp for investment grade).

standard_recovery: f64

The family’s standard recovery assumption (market convention).

cds: CdsTemplate

Underlying CDS schedule conventions.

anchor: (u32, NaiveDate)

A series the family is known to have rolled, and the nominal date it rolled on — the anchor every other series’ dates count from, six months a series.

Implementations

impl CreditIndexTemplate

pub fn series_roll(&self, series: u32) -> NaiveDate

The nominal date series rolled (or will roll) on: the 20th of March or September, six months a series from the family’s anchor. Trading in a series opens on the first business day on or after it.

pub fn on_the_run(&self, date: NaiveDate) -> u32

The series on the run on date: the latest to have rolled on or before it.

pub fn series_maturity(&self, series: u32, tenor_years: u32) -> NaiveDate

The maturity of series at tenor_years: the standard CDS date three months after its roll and the tenor on — the 20th of June for a March series, of December for a September one. An off-the-run series keeps the maturity it was launched with.

Trait Implementations

impl Clone for CreditIndexTemplate

fn clone(&self) -> CreditIndexTemplate

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl From<CreditIndexTemplate> for AnyTemplate

fn from(t: CreditIndexTemplate) -> Self

Converts to this type from the input type.