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§
- Repo
Template - The conventions of one general-collateral repo market.
Statics§
- REPO
- Registry rows for this template group.
Functions§
- eur_
gc_ repo EUR-GC-REPOtemplate.- gbp_
gc_ repo GBP-GC-REPOtemplate.- repo 🔒
- usd_
gc_ repo USD-GC-REPOtemplate.