Market Data

Market data enters the library through three stores: QuoteStore (prices), FixingStore (historical index fixings) and FxStore (spot FX). This chapter documents the quote identifier grammar that ties quotes to instruments, and the API of each store.

Quote identifiers

Every quote is identified by an underscore-separated string that is parsed by QuoteDetails::from_str into a QuoteInstrument. The identifier is what curve configurations, vol configurations and scenarios refer to, and it doubles as the pillar label in sensitivity reports.

• <Tenor> and <Expiry> are Period strings (1D, 3M, 5Y, 1Y6M).
• <StrikeKind> is Absolute (strike follows as a decimal), Atm, or Relative (offset from ATM).
• <VolType> is Black or Normal; <Strategy> for caplets is Cap, Floor or Straddle.
• Currency pairs are concatenated ISO codes (USDCLP = price of 1 USD in CLP).

QuoteInstrument has one variant per row (Ois, FixedRateDeposit, BasisSwap, FixFloatCrossCurrencySwap, FloatFloatCrossCurrencySwap, FxForwardPoints, FxOutrightForward, Future, ConvexityAdjustment, CapFloor, CapletFloorlet, Swaption, EquityOption, FxOption, Cds) carrying the parsed fields. Bootstrappers call CurveConfiguration::instruments() to turn these into instruments at the quoted levels.

QuoteStore

let mut store = QuoteStore::new(Date::new(2026, 2, 24));
let details = QuoteDetails::from_str("OIS_USD_SOFR_5Y")?;
store.add_quote(Quote::new(details, QuoteLevels::with_mid(0.0407677739)));
store.add_quote(Quote::new(
    QuoteDetails::from_str("FxForwardPoints_USDCLP_3M")?,
    QuoteLevels::new(Some(5.30), Some(5.20), Some(5.40)),   // mid, bid, ask
));

store.reference_date();                        // Date
store.quote("OIS_USD_SOFR_5Y");                // Option<&Quote>
store.quotes();                                // &HashMap<String, Quote>
let mid = store.quote("OIS_USD_SOFR_5Y").and_then(|q| q.levels().mid());

QuoteLevels::with_mid(mid) sets only the mid; QuoteLevels::new(mid, bid, ask) takes three Option<f64>; levels.value(Level::Mid | Bid | Ask) returns Result<f64> and fails if that level was not supplied. Bootstrappers and builders take a Level argument, so one store can produce a mid curve and a bid/ask pair.

QuoteStore implements QuoteSelector, the trait bootstrappers read from. PricingContext::quote_store() returns the shocked copy when scenarios are attached and the base store otherwise (base_quote_store() always returns the original).

JSON

The examples use this schema (examples/bootstrap/data/quotes.json):

{
  "reference_date": "2026-02-24",
  "quotes": [
    { "identifier": "FixedRateDeposit_USD_SOFR_1D", "mid": 0.045 },
    { "identifier": "OIS_USD_SOFR_1Y", "mid": 0.0483664339 },
    { "identifier": "BasisSwap_USD_SOFR_TermSOFR3m_1Y", "mid": 0.00028 },
    { "identifier": "FxForwardPoints_USDCLP_3M", "mid": 5.3 },
    { "identifier": "FixFloatCrossCurrencySwap_CLP_SOFR_USD_5Y", "mid": 0.0512 }
  ]
}

The loader in examples/bootstrap/src/main.rs is ten lines:

#[derive(Deserialize)] struct QuoteRecord { identifier: String, mid: f64 }
#[derive(Deserialize)] struct JsonQuotes { reference_date: Date, quotes: Vec<QuoteRecord> }

let json: JsonQuotes = serde_json::from_reader(BufReader::new(File::open(path)?))?;
let mut store = QuoteStore::new(json.reference_date);
for rec in json.quotes {
    store.add_quote(Quote::new(QuoteDetails::from_str(&rec.identifier)?, QuoteLevels::with_mid(rec.mid)));
}

The Python binding QuoteStore.from_json reads the same file.

FixingStore

let mut fixings = FixingStore::default();
fixings.add_fixing(&MarketIndex::SOFR, Date::new(2025, 5, 12), 0.0428);
fixings.fixing(&MarketIndex::SOFR, Date::new(2025, 5, 12))?;  // Result<f64>, NotFoundErr if missing
fixings.fixings(&MarketIndex::SOFR)?;                         // Result<&BTreeMap<Date, f64>>
fixings.fill_missing_fixings(Interpolator::Linear)?;          // fill every calendar day between first and last fixing

Fixings are needed for any floating coupon whose fixing date is on or before the valuation date. DiscountedCashflowPricer reads them through MarketDataRequest; the XVA FixingPreprocessor uses them to set realized_fixing / partial_fixing on claims (compounding daily fixings for in-arrears indices such as SOFR). JSON schema used by the examples:

{
  "SOFR": [
    { "date": "2025-05-12", "rate": 0.0428 },
    { "date": "2025-05-13", "rate": 0.0429 }
  ]
}

FxStore

let mut fx = FxStore::new();
fx.add_fx_rate(Currency::USD, Currency::CLP, DualFwd::new(935.0));   // 1 USD = 935 CLP
fx.get_fx_rate(Currency::CLP, Currency::USD)?;                       // 1/935, inverted automatically
fx.get_fx_rate(Currency::EUR, Currency::CLP)?;                       // triangulated via USD if EURUSD is stored

let fx = FxStore::from_records(vec![FxRateRecord { base: Currency::CLP, quote: Currency::USD, rate: 1.0 / 900.0 }]);

get_fx_rate returns DualFwd::one() for identical currencies, a direct lookup if the pair is stored, and otherwise breadth-first triangulation over stored pairs (multiplying along base→quote edges and dividing along reversed ones); it fails with NotFoundErr when the currencies are disconnected. FxStore implements Pillars<DualFwd> (labels "USD/CLP"), so put_pillars_on_tape() turns every stored rate into a tape leaf and FX-spot sensitivities appear next to curve pillars. from_records stores rates with DualFwd::from, i.e. off-tape until you call put_pillars_on_tape(). The bootstrapper uses the store to build MarketIndex::Collateral(CLP, USD) curves from cross-currency quotes; FxForwardPricer and FxOptionPricer read spot from it.

Currencies and indices

Currency variants: USD, EUR, JPY, ZAR, CLP, CLF, CHF, BRL, COP, MXN, AUD, CAD, CNY, GBP, NZD, NOK, SEK, PEN, CNH, INR, TWD, HKD, KRW, DKK, IDR, with as_str(), name(), symbol(), precision(), numeric_code() and Currency::try_from("USD").

MarketIndex variants: SOFR, SOFRCompounded, TermSOFR1m, TermSOFR3m, TermSOFR6m, TermSOFR12m, ESTR, EURIBOR1m, EURIBOR3m, EURIBOR6m, EURIBOR12m, SONIA, TONAR, TIBOR3m, TIBOR6m, SARON, CORRA, AONIA, NZONIA, NOWA, SWESTR, ICP, VIX, Equity(String), FxPair(FxPair), Collateral(Currency, Currency), Credit(String), Other(String). Rate indices know their currency, tenor and day counter (MarketIndex::SOFR.currency() == Currency::USD); Collateral(CLP, USD) names the curve that discounts CLP cashflows collateralised in USD. In JSON, unit variants serialise as strings ("SOFR") and tuple variants as objects ({"Collateral": ["CLP", "USD"]}, {"Equity": "AAPL"}).