Value a cross-currency swap leg by leg

use chrono::NaiveDate;
use helixrs::{
    AnyInstrument, AnyTemplate, CollateralSpec, CrossCurrencySwap, CurrencyPair, FxRates,
    MarketContext, QuoteSheet, template,
};

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

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

fn main() -> Outcome<()> {
    let close = date(2026, 10, 1);
    let usd_sofr_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 basis = [
        ("EUR-USD-ESTR-SOFR-BASIS", "1Y", -0.0010),
        ("EUR-USD-ESTR-SOFR-BASIS", "2Y", -0.0012),
        ("EUR-USD-ESTR-SOFR-BASIS", "5Y", -0.0015),
        ("EUR-USD-ESTR-SOFR-BASIS", "10Y", -0.0016),
    ];

    // 1. A market with both currencies, the spot, and the basis that discounts
    //    euros collateralised in dollars.
    let key = |spelling: &str| spelling.parse::<CollateralSpec>();
    let spot = FxRates::from_quotes(&[(CurrencyPair::new("EUR".parse()?, "USD".parse()?), 1.08)])?;
    let market = MarketContext::as_of(close)
        .with_recipe_quotes(&key("USD")?, &QuoteSheet::from_rows(usd_sofr_close.iter().copied())?)?
        .with_recipe_quotes(&key("EUR")?, &QuoteSheet::from_rows(eur_close.iter().copied())?)?
        .with_fx_rates(spot)
        .with_recipe_quotes(&key("USD-CSA-EUR")?, &QuoteSheet::from_rows(basis.iter().copied())?)?;

    // 2. Five years of €STR flat against SOFR, notionals exchanged at the spot.
    let AnyTemplate::Xccy(terms) = template("EUR-USD-ESTR-SOFR-BASIS")? else {
        unreachable!("a cross-currency template")
    };
    let swap = AnyInstrument::CrossCurrency(Box::new(CrossCurrencySwap::from_template(
        &terms, date(2026, 10, 5), date(2031, 10, 5), 10_000_000.0, 1.08, 0.0,
    )?));

    // 3. One row per leg: in its own currency, in the swap's (EUR), and in dollars.
    let rows = swap.leg_npvs(&market, Some("USD".parse()?))?;
    let text = |name: &str| rows[name].text().expect("a text column");
    let numbers = |name: &str| rows[name].numbers().expect("a number column");
    let (side, ccy) = (text("side"), text("ccy"));
    let (local, npv, pnl) = (numbers("npv_local"), numbers("npv"), numbers("npv_pnl"));
    println!("{:<8} {:<4} {:>12} {:>12} {:>12}", "side", "ccy", "local", "in EUR", "in USD");
    for i in 0..side.len() {
        println!("{:<8} {:<4} {:>12.2} {:>12.2} {:>12.2}", side[i], ccy[i], local[i], npv[i], pnl[i]);
    }
    let total = swap.npv(&market)?;
    println!("swap npv {total:.2} EUR");

    Ok(())
}

from datetime import date

import helixio as hlx

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},
}
BASIS = {"EUR-USD-ESTR-SOFR-BASIS": {"1Y": -0.0010, "2Y": -0.0012, "5Y": -0.0015, "10Y": -0.0016}}

# 1. A market with both currencies, the spot, and the basis that discounts
#    euros collateralised in dollars.
market = (
    hlx.MarketContext(SOFR_CLOSE_DATE)
    .with_recipe_quotes("USD", USD_SOFR_CLOSE)
    .with_recipe_quotes("EUR", EUR_CLOSE)
    .with_fx_rates([("EUR", "USD", 1.08)])
    .with_recipe_quotes("USD-CSA-EUR", BASIS)
)

# 2. Five years of €STR flat against SOFR, notionals exchanged at the spot.
swap = hlx.templates.get("EUR-USD-ESTR-SOFR-BASIS").cross_currency_swap(
    date(2026, 10, 5), date(2031, 10, 5), notional=10_000_000.0, fx_rate=1.08, spread=0.0
)

# 3. One row per leg: in its own currency, in the swap's (EUR), and in dollars.
rows = swap.leg_npvs(market, pnl_ccy="USD").to_dict()
print(f"{'side':<8} {'ccy':<4} {'local':>12} {'in EUR':>12} {'in USD':>12}")
for side, ccy, local, npv, pnl in zip(rows["side"], rows["ccy"], rows["npv_local"], rows["npv"], rows["npv_pnl"]):
    print(f"{side:<8} {ccy:<4} {local:>12.2f} {npv:>12.2f} {pnl:>12.2f}")
total = swap.npv(market)
print(f"swap npv {total:.2f} EUR")