Struct ZcsTemplate 

pub struct ZcsTemplate {
    pub name: String,
    pub fixed_day_count: DayCountFraction,
    pub fixed_compounding: AccrualCompounding,
    pub float_index: IborIndex,
    pub float_frequency: Frequency,
    pub float_day_count: DayCountFraction,
    pub calendar: Arc<dyn Calendar>,
    pub business_day_convention: BusinessDayConvention,
    pub roll: RollConvention,
    pub spot_lag: Period,
    pub end_of_month: bool,
    pub float_par_coupons: bool,
}

The conventions of a zero-coupon swap: a single terminal fixed accrual against a floating side that compounds one term-index reset per schedule period, both paying once at maturity.

float_frequency is the compounding frequency, not a payment frequency — a ZCS pays once. It is what sets how many resets the floating side carries, and so how many rows its reset ladder has.

Fields

name: String

Template name (doubles as the registry code).

fixed_day_count: DayCountFraction

Fixed-leg day-count.

fixed_compounding: AccrualCompounding

How the single fixed accrual compounds over the life.

float_index: IborIndex

The term index the floating side compounds.

float_frequency: Frequency

Floating-side compounding frequency (one reset per period).

float_day_count: DayCountFraction

Floating-side accrual day-count.

calendar: Arc<dyn Calendar>

Schedule calendar.

business_day_convention: BusinessDayConvention

Business-day convention.

roll: RollConvention

Roll convention.

spot_lag: Period

Spot lag: valuation → default effective date.

end_of_month: bool

Whether schedule boundaries snap to month-ends.

float_par_coupons: bool

Whether each floating reset forwards over its own accrual period (par coupons) rather than its index’s window. false on every registered template.

Implementations

impl ZcsTemplate

pub fn with_par_coupons(self, par: bool) -> Self

This template with its floating resets forwarding over their own accrual periods (par coupons), each still fixing on its own date.

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

Overrides the spot lag (business days) — builder-style, as OisTemplate::with_spot_lag does. A zero-coupon swap derives its effective date from this lag in ZeroCouponSwap::from_template, so the override reaches the instrument.

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

Generates under convention rather than the registered one. A zero-coupon swap advances its start by the tenor under this convention to reach its maturity, so the override reaches the instrument.

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

Generates on calendar rather than the registered business centres — FpML’s businessCenters stated per trade. A payment lag with no payment calendar of its own rolls on it too.

Trait Implementations

impl Clone for ZcsTemplate

fn clone(&self) -> ZcsTemplate

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl From<ZcsTemplate> for AnyTemplate

fn from(t: ZcsTemplate) -> Self

Converts to this type from the input type.