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Module repo

Module repo 

Expand description

General-collateral repo templates. Repo templates — the repo group: one per currency’s general-collateral market, carrying what a repo drafted there inherits.

The money-market basis is the market’s (Act/360 for USD and EUR, Act/365F for GBP), the base its GC spread is marked against is the overnight curve’s discount key, a floating repo reads that overnight index, and the margin ratio applies to the dirty price — the GMRA default; a trade quoting it clean says so itself.

Not a curve pillar: the registry’s quote_family refuses the group until repo quotes calibrate a spread.

Structs§

RepoTemplate
The conventions of one general-collateral repo market.

Statics§

REPO
Registry rows for this template group.

Functions§

eur_gc_repo
EUR-GC-REPO template.
gbp_gc_repo
GBP-GC-REPO template.
repo 🔒
usd_gc_repo
USD-GC-REPO template.