Value a repo and its haircut

use chrono::NaiveDate;
use helixrs::{
    AnyInstrument, AnyTemplate, CollateralSpec, Curve, DayCountFraction, FixedRateBond, Frequency,
    MarketContext, QuoteSheet, Repo, RepoRate, RepoSide, RepoSpread, RepoTerms, repo_margin, 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 calendar date")
}

fn main() -> Outcome<()> {
    // 1. The close and the SOFR quotes the market is built from.
    let close = date(2026, 10, 1);
    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),
    ];

    // 2. Build the market, with general collateral 10bp under SOFR as a repo
    //    spread curve over the USD discount curve.
    let gc = RepoSpread::new(close, &[(date(2027, 10, 1), -0.0010)], DayCountFraction::Act360)?;
    let market = MarketContext::as_of(close)
        .with_recipe_quotes(&CollateralSpec::Currency("USD".parse()?), &QuoteSheet::from_rows(usd_close)?)?
        .with_repo_spread("USD", Curve::RepoSpread(gc), "discount(USD)".parse()?);

    // 3. The collateral: a ten-year 4.25% bond.
    let bond = FixedRateBond::bullet(
        "USD".parse()?,
        date(2025, 8, 15),
        date(2035, 8, 15),
        0.0425,
        Frequency::SemiAnnual,
        DayCountFraction::ActActIcma,
        100.0,
    )?;

    // 4. Book three months of repo on the USD GC template: 10 million of the bond
    //    at 99.5, at 4.00%, with a margin ratio of 1.02 (102% margin).
    let (nominal, price, margin_ratio) = (10_000_000.0, 99.5, 1.02);
    let AnyTemplate::Repo(gc_repo) = template("USD-GC-REPO")? else {
        unreachable!("a repo template")
    };
    let start = date(2026, 10, 2);
    let end = gc_repo.end_after(start, "3M".parse()?);
    let terms = RepoTerms::from_template(&gc_repo, RepoSide::Repo, start, end, RepoRate::Fixed(0.0400), margin_ratio)?;
    let repo = AnyInstrument::Repo(Box::new(Repo::from_collateral(terms, bond, nominal, price)?));

    // 5. Value it, and read the margin position.
    let margin = repo_margin(&repo, &market, None)?;
    println!("npv               {:.2}", repo.npv(&market)?);
    for (field, value) in [
        ("exposure", margin.exposure),
        ("collateral_value", margin.collateral_value),
        ("required", margin.required),
        ("excess", margin.excess),
        ("haircut", margin.haircut),
    ] {
        println!("{field:<17} {value:.6}");
    }

    // 6. Compare with the cash and the haircut worked out from the terms.
    let cash = nominal * price / 100.0 / margin_ratio;
    let haircut = 1.0 - 1.0 / margin_ratio;
    println!("cash by hand      {cash:.6}");
    println!("haircut by hand   {haircut:.6}");

    Ok(())
}

from datetime import date

import helixio as hlx

# 1. The close and the SOFR quotes the market is built from.
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,
    },
}

# 2. Build the market, with general collateral 10bp under SOFR as a repo spread
#    curve over the USD discount curve.
gc = hlx.curves.RepoSpreadCurve(SOFR_CLOSE_DATE, [(date(2027, 10, 1), -0.0010)])
market = (
    hlx.MarketContext(SOFR_CLOSE_DATE)
    .with_recipe_quotes("USD", USD_SOFR_CLOSE)
    .with_repo_spread("USD", gc, "discount(USD)")
)

# 3. The collateral: a ten-year 4.25% bond.
bond = hlx.products.fixed_rate_bond(
    "USD", date(2025, 8, 15), date(2035, 8, 15),
    coupon=0.0425, frequency="Semiannual", day_count="ACT/ACT.ICMA",
)

# 4. Book three months of repo on the USD GC template: 10 million of the bond at
#    99.5, at 4.00%, with a margin ratio of 1.02 (102% margin).
NOMINAL, PRICE, MARGIN_RATIO = 10_000_000.0, 99.5, 1.02
repo = hlx.templates.get("USD-GC-REPO").repo(
    date(2026, 10, 2), "3M", side="repo", collateral=bond, price=PRICE,
    rate=0.0400, nominal=NOMINAL, margin_ratio=MARGIN_RATIO,
)

# 5. Value it, and read the margin position.
margin = hlx.bonds.repo_margin(repo, market)
print(f"npv               {repo.npv(market):.2f}")
for field in ("exposure", "collateral_value", "required", "excess", "haircut"):
    print(f"{field:<17} {margin[field]:.6f}")

# 6. Compare with the cash and the haircut worked out from the terms.
cash = NOMINAL * PRICE / 100.0 / MARGIN_RATIO
haircut = 1.0 - 1.0 / MARGIN_RATIO
print(f"cash by hand      {cash:.6f}")
print(f"haircut by hand   {haircut:.6f}")