Struct NdfTemplate 

pub struct NdfTemplate {

    pub name: String,
    pub reference_ccy: Currency,
    pub settlement_ccy: Currency,
    pub rate_option: &'static str,
    pub survey_rate_option: Option<&'static str>,
    pub settlement_rate_option: Option<&'static str>,
    pub crosses_usd: bool,
    pub fixing_lag: u32,
    pub valuation_centers: &'static str,
    pub settlement_centers: &'static str,
    pub spot_lag: Period,
    pub business_day_convention: BusinessDayConvention,
    pub end_of_month: bool,
    pub max_postponement_days: u32,
    pub deferral_days: u32,
    pub cumulative_days: u32,
    pub settle_after_moved_fixing: u32,
    pub template_date: NaiveDate,
}

The terms of one market’s non-deliverable forward: what it fixes on, when, on which calendars, and the caps its disruption fallbacks run to.

The caps and the latest settlement after a moved fixing are data for a disruption model; nothing reads them yet.

Fields

name: String

Template name (doubles as registry code), e.g. KRW-USD-NDF.

reference_ccy: Currency

The non-deliverable currency the forward references.

settlement_ccy: Currency

The currency the net amount is paid in.

rate_option: &'static str

The Annex A settlement rate option code, e.g. KRW02.

survey_rate_option: Option<&'static str>

The indicative survey rate option a SFEMC template falls back to.

settlement_rate_option: Option<&'static str>

The settlement currency’s own rate option, which a cross-currency row crosses the reference rate with. None on every row: a USD row needs none, and the EMTA cross templates leave it blank for the confirmation to name (their §4.5B endnote points to Market Practice No. 59 and Annex A).

crosses_usd: bool

Whether the settlement rate is EMTA’s Cross Currency Settlement Rate: the reference currency’s rate against USD crossed with the settlement currency’s against USD, both for the valuation date. True on the nine cross-currency rows; false where one rate prices the pair (every USD row, and XOF/EUR, which BCEAO fixes against the euro directly).

fixing_lag: u32

Business days of the valuation calendar between fixing and settlement.

valuation_centers: &'static str

Calendar expression the valuation (fixing) date is a business day of.

settlement_centers: &'static str

Calendar expression the settlement date is a business day of.

spot_lag: Period

Days from trade date to spot, counted on the joint calendar.

business_day_convention: BusinessDayConvention

Convention rolling spot plus a tenor onto a settlement date.

end_of_month: bool

Whether a month-end spot rolls to month-end settlements.

max_postponement_days: u32

Maximum Days of Postponement, in calendar days.

deferral_days: u32

Deferral Period for an Unscheduled Holiday, in calendar days.

cumulative_days: u32

Cumulative Events cap, in calendar days.

settle_after_moved_fixing: u32

Latest settlement, in business days, after a moved or postponed fixing.

template_date: NaiveDate

The effective date of the EMTA template the row follows.

Implementations

impl NdfTemplate

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

The calendar the valuation date is a business day of.

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

The calendar the settlement date is a business day of.

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

The union of the valuation and settlement calendars, which spot and the tenor roll are counted on.

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

The fixing date for a settlement on settlement: adjusted Preceding onto the valuation calendar, then stepped back the fixing lag in its business days.

pub fn spot_date(&self, trade_date: NaiveDate) -> NaiveDate

The spot date of a trade on trade_date: the spot lag in business days of the joint calendar.

pub fn settlement_date(&self, trade_date: NaiveDate, tenor: Period) -> NaiveDate

The settlement date of a tenor forward traded on trade_date: spot advanced the tenor, rolled by the template’s convention and end-of-month rule on the joint calendar.

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

This template with its spot lag overridden, in business days.

pub fn settling_in( self, settlement: &str, settlement_centers: &'static str, ) -> Self

This row settling in settlement on settlement_centers, the reference terms kept — the stated terms of a cross-currency NDO with no NDF row of its own.

Panics

If settlement is no ISO currency — the rows pass literals.

pub fn with_fixing_lag(self, days: u32) -> Self

This template with its fixing lag overridden, in business days.

Trait Implementations

impl Clone for NdfTemplate

fn clone(&self) -> NdfTemplate

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl From<NdfTemplate> for AnyTemplate

fn from(t: NdfTemplate) -> Self

Converts to this type from the input type.