Module mm 

Money-market templates: deposits (MoneyMarket) and rate futures (RateFuture). Money-market templates — the mm group covers single-currency front-end instruments quoted as tagged pillars: deposits (type = "MoneyMarket", a simple accrual to a convention-advanced maturity), rate futures (type = "RateFuture", a forward accrual over a fixed contract length), and forward-rate agreements (type = "FRA", a forward accrual on a projection curve).

All three are product-bearing: a rate-future template builds a RateFuture, a FRA template builds a ForwardRateAgreement, and a deposit template builds a MoneyMarketDeposit, each priced through the ordinary market context.

Each group reached that state separately, and the deposit reached it last. The futures and FRA groups were pillar-only for a while — the conventions were complete and the calibration helpers consumed them, but the product builder rejected them, so a curve could be calibrated from a contract nobody could hold.

The deposit group was pillar-only on purpose, and that decision has now been reversed rather than eroded. The argument for it was that building a product from a convention-only template should fail loud rather than silently produce something, and it was sound for exactly as long as nothing could price a deposit. Once something can, refusing to build one stops protecting a caller and starts withholding the market’s standard short-end pillar: without it a real bootstrap loses about five orders of magnitude of agreement at every pillar it has.

A previous version of this paragraph claimed the pillar-only status was “asserted by the registry-wide parity check”. No such check existed — the only code that distinguished the group was the binding’s family_of, naming it in an error message. The claim is deleted rather than moved. What observes a group’s status now is that each family has a constructor test: tests/money_market_deposit.rs builds a deposit from USD-SOFR-DEPO and calibrates with it, which a convention-only group could not pass.

Statics

MM_DEPOSIT

Registry rows for this template group.

MM_FRA

Registry rows for this template group.

MM_FUTURE

Registry rows for this template group.

Functions

cad_corra_3m_fut

CAD-CORRA-3M-FUT template.

chf_saron_3m_fut

CHF-SARON-3M-FUT template.

deposit 🔒

Builder for a money-market deposit template. name doubles as the registry code.

eur_estr_3m_fut

EUR-ESTR-3M-FUT template.

eur_estr_depo

EUR-ESTR-DEPO template.

eur_euribor_3m_fra

EUR-EURIBOR-3M-FRA template.

eur_euribor_3m_fut

EUR-EURIBOR-3M-FUT template.

eur_euribor_6m_fra

EUR-EURIBOR-6M-FRA template.

fra 🔒

Builder for a forward-rate-agreement template. name doubles as the registry code; the index conventions (forward-curve name, accrual period, day-count) are resolved from the index registry by index_code, so the FRA pins the same forward curve as the index’s vanilla swap.

gbp_sonia_3m_fut

GBP-SONIA-3M-FUT template.

gbp_sonia_depo

GBP-SONIA-DEPO template.

ibor_index 🔒

Resolves a term (IBOR) index by code, panicking on a wiring error (caught by the registry round-trip test).

rate_future 🔒

Builder for a rate-future template. name doubles as the registry code; the underlying index is resolved from the index registry by index_code, so index_name carries the projection-curve key the contract’s forwards belong to (the join key projection-side futures pillars validate against); the contract accrual length is period_months months. contract_notional and contract_accrual are the published contract specification, and contract_accrual is the exchange’s fixed period fraction — not the accrual of day_count over the real contract dates. See FutureTemplate::contract_accrual for why conflating the two misprices the contract’s bp value by 1.1%–2.2%. averaged says the contract settles on the average of its daily prints; see [FutureTemplate::averaged].

rate_index_name_and_currency 🔒

Resolves any rate index (overnight or term) by code to its curve name — the projection-namespace key ("SOFR", "EURIBOR"), panicking on a wiring error (caught by the registry round-trip test). The projection-curve key and ISO currency of any rate index (overnight or term), resolved by code. The currency is not recoverable from the name — "SOFR" does not say USD — so a template that needs both takes both from one lookup.

usd_effr_1m_fut

USD-EFFR-1M-FUT template.

usd_sofr_1m_fut

USD-SOFR-1M-FUT template.

usd_sofr_3m_fut

USD-SOFR-3M-FUT template.

usd_sofr_depo

USD-SOFR-DEPO template.