Listed futures

use chrono::NaiveDate;
use helixio_docs_sheets::{SOFR_CLOSE_DATE, USD_SOFR_LADDER};
use helixrs::FutureTemplate;
use helixrs::{
    AnyInstrument, AnyTemplate, CollateralSpec, DayOfWeek, MarketContext, QuoteSheet,
    RateFuture, nth_weekday, template,
};

fn date(year: i32, month: u32, day: u32) -> NaiveDate {
    NaiveDate::from_ymd_opt(year, month, day).expect("a real calendar date")
}

fn futures(code: &str) -> FutureTemplate {
    match template(code).expect("a registered template") {
        AnyTemplate::Future(t) => t,
        _ => panic!("{code} is not a futures template"),
    }
}

fn main() -> Result<(), Box<dyn std::error::Error>> {
    let close = date(SOFR_CLOSE_DATE.0, SOFR_CLOSE_DATE.1, SOFR_CLOSE_DATE.2);

    // The March 2027 contract on four templates. A quarterly contract's period runs
    // from the third Wednesday of March to that of June; a monthly one is March.
    println!("{:<20} {:<25} last trading day", "template", "reference period");
    let mut periods = Vec::new();
    for code in ["USD-SOFR-3M-FUT", "USD-SOFR-1M-FUT", "GBP-SONIA-3M-FUT", "EUR-EURIBOR-3M-FUT"] {
        let contract = futures(code);
        let (start, end) = contract.reference_period(2027, 3).expect("an IMM month");
        let last = contract.last_trading_day(2027, 3).expect("an IMM month").expect("a sourced rule");
        periods.push((code, start, end, last));
        println!("{code:<20} {start} to {end}  {last}");
    }

    // A CME three-month SOFR contract ticks in half a basis point, and in a quarter
    // of one from about four months before its last trading day. The June contract
    // references June to September, so it trades until September.
    let sr3 = futures("USD-SOFR-3M-FUT");
    let june_last = sr3.last_trading_day(2027, 6).expect("an IMM month").expect("a sourced rule");
    println!("June 2027 last trading day {june_last}");
    let tick = |as_of| sr3.tick_size(2027, 6, as_of).expect("an IMM month").expect("a sourced rule");
    for as_of in [date(2026, 10, 1), date(2027, 4, 1), date(2027, 6, 1)] {
        println!("June 2027 tick on {as_of}  {:.4}", tick(as_of));
    }

    // Ten March contracts bought at 95.60. The market marked from the ladder quotes
    // March at 95.65, so the futures rate is 4.35% and the position has gained five
    // basis points on each of ten contracts.
    let sheet = QuoteSheet::from_rows(USD_SOFR_LADDER.iter().copied()).expect("a locator");
    let usd = CollateralSpec::Currency("USD".parse().expect("a currency"));
    let market = MarketContext::as_of(close).with_recipe_quotes(&usd, &sheet).expect("the USD recipe");
    let position = AnyInstrument::RateFuture(
        RateFuture::for_contract(&sr3, 2027, 3, 10.0, 95.60).expect("an IMM month"),
    );
    let rate = position.par_rate(&market).expect("a futures rate");
    let npv = position.npv(&market).expect("a value");
    println!("futures rate  {rate:.8}");
    println!("npv           {npv:.2}");

    Ok(())
}

import datetime as dt

import helixio as hlx
from desk_sheets import SOFR_CLOSE_DATE, USD_SOFR_LADDER

# The March 2027 contract on four templates. A quarterly contract's period runs
# from the third Wednesday of March to that of June; a monthly one is March.
print(f"{'template':<20} {'reference period':<25} last trading day")
periods = []
for code in ("USD-SOFR-3M-FUT", "USD-SOFR-1M-FUT", "GBP-SONIA-3M-FUT", "EUR-EURIBOR-3M-FUT"):
    template = hlx.templates.get(code)
    start, end = template.reference_period(2027, 3)
    last = template.last_trading_day(2027, 3)
    periods.append((code, start, end, last))
    print(f"{code:<20} {start} to {end}  {last}")

# A CME three-month SOFR contract ticks in half a basis point, and in a quarter
# of one from about four months before its last trading day. The June contract
# references June to September, so it trades until September.
sr3 = hlx.templates.get("USD-SOFR-3M-FUT")
print(f"June 2027 last trading day {sr3.last_trading_day(2027, 6)}")
for as_of in (dt.date(2026, 10, 1), dt.date(2027, 4, 1), dt.date(2027, 6, 1)):
    tick = sr3.tick_size(2027, 6, as_of)
    print(f"June 2027 tick on {as_of}  {tick:.4f}")

# Ten March contracts bought at 95.60. The market marked from the ladder quotes
# March at 95.65, so the futures rate is 4.35% and the position has gained five
# basis points on each of ten contracts.
market = hlx.MarketContext(SOFR_CLOSE_DATE).with_recipe_quotes("USD", USD_SOFR_LADDER)
position = sr3.rate_future_contract(2027, 3, contracts=10.0, traded_price=95.60)
rate = position.par_rate(market)
npv = position.npv(market)
print(f"futures rate  {rate:.8f}")
print(f"npv           {npv:.2f}")