Struct RepoTemplate 

pub struct RepoTemplate {
    pub name: String,
    pub currency: String,
    pub day_count: DayCountFraction,
    pub calendar: Arc<dyn Calendar>,
    pub business_day_convention: BusinessDayConvention,
    pub overnight_index: String,
    pub margin_basis: PriceBasis,
}

The conventions of one general-collateral repo market.

Fields

name: String

Template name (doubles as the registry code).

currency: String

The cash currency.

day_count: DayCountFraction

The money-market accrual basis.

calendar: Arc<dyn Calendar>

The calendar a tenor is advanced on.

business_day_convention: BusinessDayConvention

The business-day convention of that advance.

overnight_index: String

The overnight index a floating repo compounds, by registry code — and whose discount curve the GC spread is marked over.

margin_basis: PriceBasis

Whether the margin ratio applies to the clean or the dirty price.

Implementations

impl RepoTemplate

pub fn end_after(&self, start: NaiveDate, tenor: Period) -> NaiveDate

The far date tenor after start, on the template’s calendar and business-day convention.

pub fn floating(&self, spread: f64) -> RepoRate

A floating rate on this market’s overnight index at spread.

Trait Implementations

impl Clone for RepoTemplate

fn clone(&self) -> RepoTemplate

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for RepoTemplate

fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter.