Money-market deposit

This page lists everything you need to book and value a money-market deposit: its arguments and defaults, how it's priced, and an example you can run. A deposit lends cash from one date to another at a simple rate, and it is also the first segment a recipe builds a curve from.

Quick example

The example reads its quotes from the desk sheets; load them once and it runs as shown.

This lends ten million for three months from spot at 4.00% on a SOFR market, reads the fair rate, and values a second deposit struck at that rate. The market comes from the USD SOFR close on the quote sheets and recipes.

Rust

use chrono::NaiveDate;
use helixio_docs_sheets::{SOFR_CLOSE_DATE, USD_SOFR_CLOSE};
use helixrs::{
    AnyInstrument, AnyTemplate, CollateralSpec, MarketContext, MoneyMarketDeposit,
    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 deposit(rate: f64, lending: bool) -> Outcome<AnyInstrument> {
    let AnyTemplate::Deposit(depos) = template("USD-SOFR-DEPO")? else {
        unreachable!("a deposit template")
    };
    let mut deposit = MoneyMarketDeposit::new(
        depos.currency.parse()?,
        date((2026, 10, 5)),
        date((2027, 1, 5)),
        depos.day_count,
        10_000_000.0,
        rate,
    );
    if !lending {
        deposit = deposit.borrower();
    }
    Ok(AnyInstrument::Deposit(deposit))
}

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

    // Lend ten million from spot for three months at 4.00%.
    let lent = deposit(0.0400, true)?;
    let fair = lent.par_rate(&market)?;
    let npv = lent.npv(&market)?;
    println!("fair rate   {fair:.8}");
    println!("npv         {npv:.2}");

    // At its fair rate, the deposit is worth nothing.
    let at_fair = deposit(fair, true)?.npv(&market)?;
    println!("npv at fair {at_fair:.6}");

    Ok(())
}

Python

import datetime as dt

import helixio as hlx
from desk_sheets import SOFR_CLOSE_DATE, USD_SOFR_CLOSE

market = hlx.MarketContext(SOFR_CLOSE_DATE).with_recipe_quotes("USD", USD_SOFR_CLOSE)
depos = hlx.templates.get("USD-SOFR-DEPO")
START, MATURITY = dt.date(2026, 10, 5), dt.date(2027, 1, 5)

# Lend ten million from spot for three months at 4.00%.
deposit = depos.money_market_deposit(START, MATURITY, rate=0.0400, notional=10_000_000.0)
fair = deposit.par_rate(market)
npv = deposit.npv(market)
print(f"fair rate   {fair:.8f}")
print(f"npv         {npv:.2f}")

# At its fair rate, the deposit is worth nothing.
at_fair = depos.money_market_deposit(START, MATURITY, rate=fair, notional=10_000_000.0)
print(f"npv at fair {at_fair.npv(market):.6f}")

fair rate   0.04020000
npv         -505.69
npv at fair 0.000000

The fair rate equals the sheet's three-month quote: a three-month OIS from spot is one period, and over one period the compounded and the simple rate on the same curve agree. Lending below it gives value away.

How it's priced

A deposit of $N$ at rate $K$ from $t_s$ to $t_e$ , with accrual $\tau$ , is worth to the lender

V = N\left((1 + K\tau)\,P(t_e) - P(t_s)\right).

The fair rate makes it worth nothing: $K^\ast = (P(t_s)/P(t_e) - 1)/\tau$ . The borrower holds the other side. Where deposits sit on a curve is covered in how rates products work.

API

Argument	Type	Default	Meaning
`start`	`date`	required	when the cash moves
`maturity`	`date`	required	when it is repaid with interest
`rate`	`float`	required	the simple rate
`notional`	`float`	required	the size
`lending`	`bool`	`True`	`False` books the borrower; Rust `.borrower()` on `MoneyMarketDeposit::new(currency, start, maturity, day_count, notional, rate)`
`issuer`	`str`	`None`	tags the deposit taker's credit; refused on an IRS template

Symbol	Meaning	Rust	Python
the trade	a deposit on its template	`MoneyMarketDeposit::new` with the template's currency and day count	`Template.money_market_deposit`
borrower	the other side	`MoneyMarketDeposit::borrower`	`lending=False`
$K^\ast$	the fair rate	`AnyInstrument::par_rate`	`Instrument.par_rate`
$V$	its value	`AnyInstrument::npv`	`Instrument.npv`

Defaults and limits

Side: a deposit is booked as the lender. Pass lending=False in Python, or call .borrower() in Rust, to book the borrower.
Interest: simple interest on the market's money-market day count, paid with the principal at maturity. The template holds the currency and day count; see rates conventions.
Dates: you give the start and maturity dates yourself; the deposit does not roll them.

Money-market deposit

Quick example

How it's priced

API

Defaults and limits

See also