Meeting schedules

use chrono::{Datelike, NaiveDate};
use helixio_docs_sheets::SOFR_CLOSE_DATE;
use helixrs::{
    BusinessDayConvention, CentralBank, CollateralSpec, MarketContext, MeetingSchedule, QuoteSheet,
    calendar,
};

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

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

    // The library ships two years of decisions for three banks, 2026 and 2027. Each
    // decision's effective date follows from its bank's rule.
    let mut seeded = Vec::new();
    for bank in [CentralBank::Fed, CentralBank::Ecb, CentralBank::Boe] {
        let schedule = MeetingSchedule::seeded(bank.clone()).expect("a seeded bank");
        let (decisions, effective) = (schedule.decisions(), schedule.effective_dates());
        println!(
            "{}  {} decisions, {} to {}, last effective {}",
            bank.code(),
            decisions.len(),
            decisions[0],
            decisions[decisions.len() - 1],
            effective[effective.len() - 1]
        );
        seeded.push((bank, schedule));
    }

    // A meeting swap covers the window from one decision's effective date to the
    // next's. December 2026's window closes on the first 2027 decision, so a quote
    // on it marks a curve; the last seeded decision opens no window, since no later
    // decision closes it.
    let fed = MeetingSchedule::seeded(CentralBank::Fed).expect("a seeded bank");
    let horizon = date(2027, 3, 31);
    let knots: Vec<NaiveDate> = fed.between(close, horizon).iter().map(|k| k.date).collect();
    println!(
        "Fed effective dates after the close  {}",
        knots.iter().map(NaiveDate::to_string).collect::<Vec<_>>().join(", ")
    );
    let usd = CollateralSpec::Currency("USD".parse().expect("a currency"));
    let december = QuoteSheet::from_rows([
        ("USD-SOFR-MeetingOIS", "2026-12-09", 0.0380),
        ("USD-SOFR-OIS", "2Y", 0.0459),
        ("USD-SOFR-OIS", "5Y", 0.0471),
    ])
    .expect("a well-formed sheet");
    let marked = MarketContext::as_of(close).with_recipe_quotes(&usd, &december).expect("a closed window");
    let (december_curve, _) = marked.curve(&"discount(USD)".parse().expect("a key")).expect("the USD curve");
    let december_pillars = december_curve.parameter_count();
    println!("a quote on the 9 December 2026 decision marks a curve with {december_pillars} pillars");
    let last = fed.decisions()[fed.decisions().len() - 1];
    let spelled = last.to_string();
    let sheet = QuoteSheet::from_rows([
        ("USD-SOFR-MeetingOIS", spelled.as_str(), 0.0360),
        ("USD-SOFR-OIS", "2Y", 0.0459),
        ("USD-SOFR-OIS", "5Y", 0.0471),
    ])
    .expect("a well-formed sheet");
    let refused = MarketContext::as_of(close)
        .with_recipe_quotes(&usd, &sheet)
        .expect_err("a window with no closing decision must be refused");
    println!("a quote on the last seeded decision, {last}, is refused");

    Ok(())
}

import datetime as dt

import helixio as hlx
from desk_sheets import SOFR_CLOSE_DATE

dates = hlx.dates

# The library ships two years of decisions for three banks, 2026 and 2027. Each
# decision's effective date follows from its bank's rule.
seeded = {}
for bank in ("FED", "ECB", "BOE"):
    schedule = dates.MeetingSchedule.seeded(bank)
    decisions, effective = schedule.decisions(), schedule.effective_dates()
    seeded[bank] = (decisions, effective)
    print(f"{bank}  {len(decisions)} decisions, {decisions[0]} to {decisions[-1]}, last effective {effective[-1]}")

# A meeting swap covers the window from one decision's effective date to the
# next's. December 2026's window closes on the first 2027 decision, so a quote
# on it marks a curve; the last seeded decision opens no window, since no later
# decision closes it.
fed = dates.MeetingSchedule.seeded("FED")
knots = dates.meeting_dates("FED", SOFR_CLOSE_DATE, dt.date(2027, 3, 31))
print(f"Fed effective dates after the close  {', '.join(d.isoformat() for d in knots)}")
december = {"USD-SOFR-MeetingOIS": {"2026-12-09": 0.0380}, "USD-SOFR-OIS": {"2Y": 0.0459, "5Y": 0.0471}}
marked = hlx.MarketContext(SOFR_CLOSE_DATE).with_recipe_quotes("USD", december)
december_pillars = marked.curve("discount(USD)").parameter_count()
print(f"a quote on the 9 December 2026 decision marks a curve with {december_pillars} pillars")
last = fed.decisions()[-1]
sheet = {"USD-SOFR-MeetingOIS": {last.isoformat(): 0.0360}, "USD-SOFR-OIS": {"2Y": 0.0459, "5Y": 0.0471}}
try:
    hlx.MarketContext(SOFR_CLOSE_DATE).with_recipe_quotes("USD", sheet)
    refused = None
except ValueError as error:
    refused = str(error)
print(f"a quote on the last seeded decision, {last}, is {'refused' if refused else 'accepted'}")