Forward-rate agreement

use chrono::NaiveDate;
use helixio_docs_sheets::{EUR_CLOSE, SOFR_CLOSE_DATE};
use helixrs::{
    AnyInstrument, AnyTemplate, CollateralSpec, ForwardRateAgreement, MarketContext,
    Period, QuoteSheet, template,
};

type Outcome<T> = Result<T, Box<dyn std::error::Error>>;

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

fn fra(close: NaiveDate, rate: f64, receiver: bool) -> Outcome<AnyInstrument> {
    let AnyTemplate::Fra(fras) = template("EUR-EURIBOR-3M-FRA")? else {
        unreachable!("a FRA template")
    };
    let start = "3M".parse::<Period>()?;
    let mut fra =
        ForwardRateAgreement::from_template(&fras, close, Some(start), 10_000_000.0, rate);
    if receiver {
        fra = fra.receiver();
    }
    Ok(AnyInstrument::Fra(fra))
}

fn main() -> Outcome<()> {
    let close = date(SOFR_CLOSE_DATE);
    let market = MarketContext::as_of(close).with_recipe_quotes(
        &CollateralSpec::Currency("EUR".parse()?),
        &QuoteSheet::from_rows(EUR_CLOSE.iter().copied())?,
    )?;

    // A 3x6: the period starts three months after spot and runs one index tenor.
    let buyer = fra(close, 0.0210, false)?;
    for (name, day) in buyer.contract_dates() {
        println!("{name:<14} {day}");
    }

    // The buyer pays the struck rate and receives the fixing.
    let forward = buyer.par_rate(&market)?;
    let npv = buyer.npv(&market)?;
    println!("forward        {forward:.8}");
    println!("npv            {npv:.2}");

    // Struck at the forward, the agreement is worth nothing.
    let fair = fra(close, forward, false)?.npv(&market)?;
    println!("npv at forward {fair:.6}");

    Ok(())
}

import helixio as hlx
from desk_sheets import EUR_CLOSE, SOFR_CLOSE_DATE

market = hlx.MarketContext(SOFR_CLOSE_DATE).with_recipe_quotes("EUR", EUR_CLOSE)
fras = hlx.templates.get("EUR-EURIBOR-3M-FRA")

# A 3x6: the period starts three months after spot and runs one index tenor.
fra = fras.forward_rate_agreement(SOFR_CLOSE_DATE, "3M", notional=10_000_000.0, struck_rate=0.0210)
for name, day in fra.contract_dates():
    print(f"{name:<14} {day}")

# The buyer pays the struck rate and receives the fixing.
forward = fra.par_rate(market)
npv = fra.npv(market)
print(f"forward        {forward:.8f}")
print(f"npv            {npv:.2f}")

# Struck at the forward, the agreement is worth nothing.
fair = fras.forward_rate_agreement(SOFR_CLOSE_DATE, "3M", notional=10_000_000.0, struck_rate=forward)
print(f"npv at forward {fair.npv(market):.6f}")