Book a trade with a CSA counterparty

use chrono::NaiveDate;
use helixrs::{
    CollateralSpec, Counterparties, Counterparty, CsaSpec, CurrencyPair, FxRates, MarketContext,
    QuoteSheet, Termination, market_data_needs, template,
};

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

fn main() -> Outcome<()> {
    // 1. The close, the quotes for both currencies, the EUR/USD spot, and the
    //    cross sheet: FX swaps as outrights in EUR per USD, then the basis.
    let close = NaiveDate::from_ymd_opt(2026, 10, 1).expect("a real date");
    let usd_close = [
        ("USD-SOFR-OIS", "1M", 0.0391),
        ("USD-SOFR-OIS", "3M", 0.0402),
        ("USD-SOFR-OIS", "1Y", 0.0439),
        ("USD-SOFR-OIS", "2Y", 0.0459),
        ("USD-SOFR-OIS", "3Y", 0.0468),
        ("USD-SOFR-OIS", "4Y", 0.0469),
        ("USD-SOFR-OIS", "5Y", 0.0471),
        ("USD-SOFR-OIS", "7Y", 0.0475),
        ("USD-SOFR-OIS", "10Y", 0.0483),
        ("USD-SOFR-OIS", "15Y", 0.0494),
        ("USD-SOFR-OIS", "20Y", 0.0499),
        ("USD-SOFR-OIS", "30Y", 0.0492),
    ];
    let eur_close = [
        ("EUR-ESTR-OIS", "1Y", 0.0195),
        ("EUR-ESTR-OIS", "2Y", 0.0200),
        ("EUR-ESTR-OIS", "5Y", 0.0215),
        ("EUR-ESTR-OIS", "10Y", 0.0240),
        ("EUR-ESTR-OIS", "20Y", 0.0262),
        ("EUR-ESTR-OIS", "30Y", 0.0265),
        ("EUR-EURIBOR-3M-IRS", "1Y", 0.0210),
        ("EUR-EURIBOR-3M-IRS", "2Y", 0.0216),
        ("EUR-EURIBOR-3M-IRS", "5Y", 0.0232),
        ("EUR-EURIBOR-3M-IRS", "10Y", 0.0257),
        ("EUR-EURIBOR-3M-IRS", "20Y", 0.0278),
        ("EUR-EURIBOR-3M-IRS", "30Y", 0.0280),
    ];
    let cross = [
        ("USD-EUR-FXSWAP", "3M", 0.8496),
        ("USD-EUR-FXSWAP", "6M", 0.8441),
        ("USD-EUR-FXSWAP", "1Y", 0.8337),
        ("EUR-USD-ESTR-SOFR-BASIS", "2Y", -0.0009),
        ("EUR-USD-ESTR-SOFR-BASIS", "5Y", -0.0013),
        ("EUR-USD-ESTR-SOFR-BASIS", "10Y", -0.0012),
    ];

    // 2. Build the market, with the curve a USD trade discounts on under a EUR CSA.
    let market = MarketContext::as_of(close)
        .with_recipe_quotes(&CollateralSpec::Currency("USD".parse()?), &QuoteSheet::from_rows(usd_close)?)?
        .with_recipe_quotes(&CollateralSpec::Currency("EUR".parse()?), &QuoteSheet::from_rows(eur_close)?)?
        .with_fx_rates(FxRates::from_quotes(&[("EUR/USD".parse::<CurrencyPair>()?, 1.1720)])?)
        .with_recipe_quotes(&"USD-CSA-EUR".parse::<CollateralSpec>()?, &QuoteSheet::from_rows(cross)?)?;

    // 3. Put the counterparty master on the market: each counterparty's acronym
    //    and its CSA, named by the overnight index of the collateral it posts.
    let market = market
        .with_counterparties(Counterparties::new().with(Counterparty::new("EXCPTY", CsaSpec::new("EUR-ESTR"))));

    // 4. Look the counterparty up and book the trade facing it.
    let counterparty = market.counterparty("EXCPTY").expect("in the master").clone();
    let draft = template("USD-SOFR-OIS")?
        .swap(close)?
        .with_maturity("3Y".parse::<Termination>()?)?
        .with_notional(20_000_000.0)
        .with_fixed_rate(0.0462);
    let swap = draft.clone().with_counterparty(&counterparty).build()?;

    // 5. Value it, and see which curve it discounts on.
    let needs = market_data_needs(&swap)?.needs();
    let discount = &needs.iter().find(|(role, _)| role == "discount").expect("a discount curve").1;
    let npv = swap.npv(&market)?;
    println!("discounts on      {discount}");
    println!("npv facing EXCPTY {npv:.2}");
    println!("npv, USD CSA      {:.2}", draft.clone().build()?.npv(&market)?);
    let fair = draft.clone().with_counterparty(&counterparty).at_par(&market)?;
    println!("par rate facing   {:.8}", fair.par_rate(&market)?);
    println!("npv at par        {:.2}", fair.npv(&market)?.abs());

    Ok(())
}

from datetime import date

import helixio as hlx

# 1. The close, the quotes for both currencies, the EUR/USD spot, and the
#    cross sheet: FX swaps as outrights in EUR per USD, then the basis.
SOFR_CLOSE_DATE = date(2026, 10, 1)
USD_SOFR_CLOSE = {
    "USD-SOFR-OIS": {
        "1M": 0.0391, "3M": 0.0402, "1Y": 0.0439, "2Y": 0.0459, "3Y": 0.0468, "4Y": 0.0469,
        "5Y": 0.0471, "7Y": 0.0475, "10Y": 0.0483, "15Y": 0.0494, "20Y": 0.0499, "30Y": 0.0492,
    },
}
EUR_CLOSE = {
    "EUR-ESTR-OIS": {"1Y": 0.0195, "2Y": 0.0200, "5Y": 0.0215, "10Y": 0.0240, "20Y": 0.0262, "30Y": 0.0265},
    "EUR-EURIBOR-3M-IRS": {"1Y": 0.0210, "2Y": 0.0216, "5Y": 0.0232, "10Y": 0.0257, "20Y": 0.0278, "30Y": 0.0280},
}
CROSS = {
    "USD-EUR-FXSWAP": {"3M": 0.8496, "6M": 0.8441, "1Y": 0.8337},
    "EUR-USD-ESTR-SOFR-BASIS": {"2Y": -0.0009, "5Y": -0.0013, "10Y": -0.0012},
}

# 2. Build the market, with the curve a USD trade discounts on under a EUR CSA.
market = (
    hlx.MarketContext(SOFR_CLOSE_DATE)
    .with_recipe_quotes("USD", USD_SOFR_CLOSE)
    .with_recipe_quotes("EUR", EUR_CLOSE)
    .with_fx_rates([("EUR", "USD", 1.1720)])
    .with_recipe_quotes("USD-CSA-EUR", CROSS)
)

# 3. Put the counterparty master on the market: each counterparty's acronym and
#    its CSA, named by the overnight index of the collateral it posts.
market = market.with_counterparties([hlx.Counterparty("EXCPTY", "EUR-ESTR")])

# 4. Look the counterparty up and book the trade facing it.
counterparty = market.counterparty("EXCPTY")
draft = (
    hlx.templates.get("USD-SOFR-OIS")
    .swap(SOFR_CLOSE_DATE)
    .with_maturity("3Y")
    .with_notional(20_000_000.0)
    .with_fixed_rate(0.0462)
)
swap = draft.with_counterparty(counterparty).build()

# 5. Value it, and see which curve it discounts on.
needs = dict(swap.market_data_needs())
npv = swap.npv(market)
print(f"discounts on      {needs['discount']}")
print(f"npv facing EXCPTY {npv:.2f}")
print(f"npv, USD CSA      {draft.build().npv(market):.2f}")
fair = draft.with_counterparty(counterparty).at_par(market)
print(f"par rate facing   {fair.par_rate(market):.8f}")
print(f"npv at par        {abs(fair.npv(market)):.2f}")