Measure a bond's spread to a curve

use chrono::{Datelike, NaiveDate};
use helixrs::{
    AnyInstrument, CallableBond, CollateralSpec, Currency, Curve, DayCountFraction, FixedRateBond,
    FlatSpread, Frequency, Interpolation, MarketContext, PiecewiseDiscount, PriceBasis, QuoteSheet,
    RiskFactors, YieldQuoteConvention, curve_yield_at, spread_over_curve, z_spread_with,
};

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>> {
    // 1. Mark the swap curve from the morning's SOFR swap quotes.
    let close = date(2026, 11, 3);
    let usd = Currency::new("USD").expect("a registered currency");
    let swaps = [
        ("USD-SOFR-OIS", "1Y", 0.0412),
        ("USD-SOFR-OIS", "2Y", 0.0405),
        ("USD-SOFR-OIS", "3Y", 0.0403),
        ("USD-SOFR-OIS", "5Y", 0.0408),
        ("USD-SOFR-OIS", "7Y", 0.0416),
        ("USD-SOFR-OIS", "10Y", 0.0428),
    ];
    let collateral = CollateralSpec::Currency(usd);
    let market = MarketContext::as_of(close)
        .with_recipe_quotes(&collateral, &QuoteSheet::from_rows(swaps.iter().copied())?)?;
    let (swap_curve, _) = market.curve(&"discount(USD)".parse()?).expect("the USD curve");

    // 2. State the government curve from its continuously compounded zero rates.
    let government_zeros = [(1, 0.0391), (2, 0.0384), (3, 0.0382), (5, 0.0387), (7, 0.0396), (10, 0.0409)];
    let mut pillars = Vec::new();
    for (years, rate) in government_zeros {
        let at = date(close.year() + years, close.month(), close.day());
        pillars.push((at, (-rate * (at - close).num_days() as f64 / 365.0).exp()));
    }
    let government = Curve::Piecewise(
        PiecewiseDiscount::from_discount_factors(close, &pillars)?
            .with_interpolation(Interpolation::LogLinear)?
            .with_rate_day_count(DayCountFraction::Act365Fixed),
    );

    // 3. Describe the bond and its quote: a 5.25% semiannual corporate on
    //    30/360, maturing on 1 June 2032, quoted at 101.40 clean.
    let bond = FixedRateBond::bullet(
        usd,
        date(2025, 6, 1),
        date(2032, 6, 1),
        0.0525,
        Frequency::SemiAnnual,
        DayCountFraction::Thirty360,
        100.0,
    )?;
    let clean = 101.40;
    let dirty = clean + bond.accrued(close);

    // 4. The z-spread to the swap curve, from the clean quote.
    let lifted = market.lift::<f64>();
    let view = market.view(&lifted)?;
    let z = z_spread_with(&bond, &view.resolve(&RiskFactors::discounted_by(&collateral))?, clean, PriceBasis::Clean)?;
    println!("z-spread to swaps   {:.2} bp", z * 10_000.0);

    // 5. The G-spread to the government curve and the I-spread to the swap
    //    curve, both on the street convention.
    let street = YieldQuoteConvention::UsStreet.basis(bond.frequency).expect("a compounding convention");
    let g_spread = spread_over_curve(&bond, &government.view::<f64>(), dirty, close, street)?;
    let i_spread = spread_over_curve(&bond, &swap_curve.view::<f64>(), dirty, close, street)?;
    println!("G-spread            {:.2} bp", g_spread * 10_000.0);
    println!("I-spread            {:.2} bp", i_spread * 10_000.0);

    Ok(())
}

import math
from datetime import date

import helixio as hlx

# 1. Mark the swap curve from the morning's SOFR swap quotes.
close = date(2026, 11, 3)
swaps = {"USD-SOFR-OIS": {"1Y": 0.0412, "2Y": 0.0405, "3Y": 0.0403, "5Y": 0.0408, "7Y": 0.0416, "10Y": 0.0428}}
market = hlx.MarketContext(close).with_recipe_quotes("USD", swaps)
swap_curve = market.curve("discount(USD)")

# 2. State the government curve from its continuously compounded zero rates.
government_zeros = [(1, 0.0391), (2, 0.0384), (3, 0.0382), (5, 0.0387), (7, 0.0396), (10, 0.0409)]
pillars = []
for years, rate in government_zeros:
    at = date(close.year + years, close.month, close.day)
    pillars.append((at, math.exp(-rate * (at - close).days / 365.0)))
government = hlx.curves.DiscountCurve(close, pillars)

# 3. Describe the bond and its quote: a 5.25% semiannual corporate on 30/360,
#    maturing on 1 June 2032, quoted at 101.40 clean.
bond = hlx.products.fixed_rate_bond(
    "USD", date(2025, 6, 1), date(2032, 6, 1), coupon=0.0525,
    frequency=hlx.dates.Frequency.SemiAnnual, day_count=hlx.dates.DayCountFraction.Thirty360,
)
clean = 101.40
dirty = clean + bond.accrued(close)

# 4. The z-spread to the swap curve, from the clean quote.
z = hlx.bonds.z_spread(bond, market, clean, hlx.bonds.PriceBasis.Clean)
print(f"z-spread to swaps   {z * 10_000:.2f} bp")

# 5. The G-spread to the government curve and the I-spread to the swap curve,
#    both on the street convention.
street = hlx.bonds.YieldConvention.UsStreet
g_spread = hlx.bonds.spread_over_curve(bond, government, dirty, close, street)
i_spread = hlx.bonds.spread_over_curve(bond, swap_curve, dirty, close, street)
print(f"G-spread            {g_spread * 10_000:.2f} bp")
print(f"I-spread            {i_spread * 10_000:.2f} bp")