Struct RolloverInterestCalculator

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pub struct RolloverInterestCalculator { /* private fields */ }

Expand description

Calculates overnight rollover interest rates for FX currency pairs.

Uses short-term interest rate data (OECD format) to compute the daily differential between base and quote currency rates.

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impl RolloverInterestCalculator

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pub fn new(records: Vec<InterestRateRecord>) -> Self

Creates a new calculator from interest rate records.

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pub fn calc_overnight_rate( &self, instrument_id: InstrumentId, date: NaiveDate, ) -> Result<f64>

Calculates the overnight interest rate differential for a currency pair.

Returns (base_rate - quote_rate) / 365 / 100 as a daily decimal rate.

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Returns an error if rate data is missing for either currency.

Trait Implementations§

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impl Clone for RolloverInterestCalculator

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fn clone(&self) -> RolloverInterestCalculator

Returns a duplicate of the value. Read more

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fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source. Read more

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impl Debug for RolloverInterestCalculator

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fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter. Read more

Auto Trait Implementations§

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impl UnwindSafe for RolloverInterestCalculator

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impl<T> Any for T
where T: 'static + ?Sized,

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fn type_id(&self) -> TypeId

Gets the TypeId of self. Read more

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impl<T> Borrow<T> for T
where T: ?Sized,

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fn borrow(&self) -> &T

Immutably borrows from an owned value. Read more

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impl<T> BorrowMut<T> for T
where T: ?Sized,

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fn borrow_mut(&mut self) -> &mut T

Mutably borrows from an owned value. Read more

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impl<T> CloneToUninit for T
where T: Clone,

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unsafe fn clone_to_uninit(&self, dest: *mut u8)

🔬This is a nightly-only experimental API. (clone_to_uninit)

Performs copy-assignment from self to dest. Read more

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impl<T> From<T> for T

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fn from(t: T) -> T

Returns the argument unchanged.

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impl<T> Instrument for T

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fn instrument(self, span: Span) -> Instrumented<Self>

Instruments this type with the provided [Span], returning an Instrumented wrapper. Read more

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fn in_current_span(self) -> Instrumented<Self>

Instruments this type with the current Span, returning an Instrumented wrapper. Read more

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impl<T, U> Into for T
where U: From<T>,

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fn into(self) -> U

Calls U::from(self).

That is, this conversion is whatever the implementation of From<T> for U chooses to do.

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impl<T> IntoEither for T

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fn into_either(self, into_left: bool) -> Either<Self, Self>

Converts self into a Left variant of Either<Self, Self> if into_left is true. Converts self into a Right variant of Either<Self, Self> otherwise. Read more

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fn into_either_with<F>(self, into_left: F) -> Either<Self, Self>
where F: FnOnce(&Self) -> bool,

Converts self into a Left variant of Either<Self, Self> if into_left(&self) returns true. Converts self into a Right variant of Either<Self, Self> otherwise. Read more

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