Struct TenorBasisLeg 

pub struct TenorBasisLeg {
    pub index_name: String,
    pub index_code: String,
    pub frequency: Frequency,
    pub day_count: DayCountFraction,
    pub calendar: Arc<dyn Calendar>,
    pub business_day_convention: BusinessDayConvention,
    pub roll: RollConvention,
    pub payment_convention: Option<BusinessDayConvention>,
    pub payment_lag: Period,
    pub payment_calendar: Option<Arc<dyn Calendar>>,
}

One leg of a single-currency tenor-basis swap (a floating leg projecting one index). Carries the index name (the forward-curve key), the leg frequency, the day-count, and the schedule conventions needed to generate the leg to a maturity.

Fields

index_name: String

The index name — the forward-curve key this leg projects (e.g. "EURIBOR").

index_code: String

The index’s registry code ("EUR-EURIBOR-3M") — the key a market stores the projection curve under, and the one a swap declares.

frequency: Frequency

Coupon frequency.

day_count: DayCountFraction

Accrual day-count.

calendar: Arc<dyn Calendar>

Schedule calendar.

business_day_convention: BusinessDayConvention

Business-day convention.

roll: RollConvention

Roll convention.

payment_convention: Option<BusinessDayConvention>

Business-day convention this leg’s payment date rolls under, separate from the convention its schedule is generated with.

On the leg rather than on the template, because a basis swap is the instrument whose two sides follow different markets by construction: a fixed-versus-floating swap takes one payment convention and a float-float one takes two.

None — every registered template — leaves the payment on the unadjusted accrual end. That is this library’s stance everywhere, rather than falling back to the leg’s own schedule convention.

payment_lag: Period

Payment lag: accrual end → pay date, in business days on the payment calendar. Zero pays at the accrual end.

payment_calendar: Option<Arc<dyn Calendar>>

Calendar the payment lag rolls on; None defaults to this leg’s schedule calendar.

Implementations

impl TenorBasisLeg

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

The calendar this leg’s payments roll on: its own when set, else the calendar its schedule is generated over.

pub fn with_payment_convention(self, convention: BusinessDayConvention) -> Self

This leg rolling its payments under convention.

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

This leg paying days business days after each accrual end.

pub fn with_payment_calendar(self, calendar: Arc<dyn Calendar>) -> Self

This leg rolling its payment lag on calendar rather than its schedule’s.

Trait Implementations

impl Clone for TenorBasisLeg

fn clone(&self) -> TenorBasisLeg

Returns a duplicate of the value.

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

Performs copy-assignment from source.