Observations and historical markets

Market construction starts from quotes, historical fixings and spot FX rates. QuantSupport stores these observations separately because they are used at different stages of valuation. QuoteStore supplies the prices or rates used for calibration at a reference date. FixingStore supplies realized index observations, and FxStore supplies spot exchange rates. A pricing context combines these stores with the instructions needed to construct curves and other market objects.

Quotes and identities

A Quote combines QuoteDetails with QuoteLevels. Details describe the quoted instrument, while levels hold optional bid, mid and ask values. Construction chooses one Level; a missing consumed level is an error, not a request to substitute another side.

#![allow(unused)]
fn main() {
extern crate quantsupport;
use quantsupport::prelude::{Quote, QuoteDetails, QuoteLevels, QSError};

let details: QuoteDetails = "FixedRateDeposit_USD_SOFR_6M".parse()?;
let quote = Quote::new(details, QuoteLevels::with_mid(0.04));
assert_eq!(quote.levels().mid(), Some(0.04));
Ok::<(), QSError>(())
}

Quote identifiers specify the calibration contract. Swap_USD_TermSOFR3m_5Y_Semiannual_Quarterly identifies product, currency, projection index, tenor and payment frequencies. An option identifier also specifies expiry and strike conventions; for a swaption, expiry and underlying swap tenor are separate coordinates.

Rate indices own their swap defaults through RateIndexDetails::swap_conventions(tenor): fixed coupon day count and compounding, both payment frequencies, floating accrual day count, settlement lag and business-day adjustment. Swap quotes and swaption underlyings consume these defaults. Direct MakeSwap builders use the same metadata. There is no shared semiannual/quarterly fallback.

For example, Euribor uses annual 30/360 fixed coupons, floating payments at the index tenor with ACT/360 accrual, TARGET and two settlement days. TIBOR uses semiannual ACT/365 fixed coupons; NIBOR uses annual 30/360 fixed coupons. SONIA uses annual ACT/365 coupons and same-day settlement, while SOFR uses annual ACT/360 coupons and two settlement days. AUD BBSW fixed payments are quarterly below four years and semiannual from four years.

All quote parameters are positional. A regular swap accepts Swap_CCY_Index_Tenor[_FixedFreq[_FloatFreq[_SettlementDays[_FixedDC[_FloatDC]]]]]. Empty fields retain the index defaults. For example, Swap_EUR_EURIBOR3m_1Y___1_Actual365 changes settlement to one business day and fixed accrual to ACT/365. Appending _Actual360 explicitly sets the floating day count too. Overrides apply independently, including when supplied through Python quote records or Excel quote identifiers.

Day counts are also positional for deposits, futures, bonds, zero rates, CDS, caps, caplets, OIS, basis and cross-currency swaps, and swaptions. Bond coupon and yield day counts are separate; two-leg contracts allow separate accrual conventions. See the QuoteDetails identifier schemas for each field order.

Swaption_USD_SOFR_1Y_5Y_ATM_Black quotes a one-year-expiry option on a five-year swap. CapletFloorlet_USD_SOFR_3M_1Y_Absolute_0.045_Straddle_Black quotes an option with a three-month index tenor, one-year expiry and 4.5% absolute strike. Black volatility is relative lognormal volatility; Normal volatility is in absolute rate units per square-root year.

MarketIndex connects these contracts to constructed objects. A standard rate index such as SOFR is distinct from Collateral(CLP, USD), which discounts CLP payments under USD collateral, or Credit("NAME"), which identifies credit survival. Their serialized forms must agree across configurations, models and contracts.

Curves may also consume direct observations through CurveConfiguration.quotes: DiscountFactor_USD_SOFR_1Y supplies a discount factor, and ZeroRate_USD_SOFR_2027-02-24 supplies an annual decimal zero rate. Pillars accept tenors or ISO dates. Zero rates default to Continuous compounding and Annual frequency; append _Compounded_Semiannual, for example, to change the rate convention. The configuration supplies day count, interpolation and extrapolation. Use one direct quote family with consistent currency and rate conventions per curve, with the quoted index matching the configured index. These inputs retain their quote identifiers, selected sides and scenario risk. Discount-factor curves automatically include the fixed reference-date factor of one and require at least one future pillar.

Fixings

Fixings resolve observations already known at valuation. Missing required past observations are errors. Same-day observations can be used when present and forecast otherwise in the relevant coupon workflows. The fixing date, not merely the payment date or trade date, determines whether history is required.

Daily overnight accrual needs business-day observations with weekend and holiday accrual weights. Term coupons may require one reset for several payments. Supply the required historical observations explicitly. Handle gaps through a validated data-preparation policy. The current FixingStore::fill_missing_fixings uses reversed interpolation coordinates and applies no business-day filter; its reference documents that restriction.

FX observations

FxStore interprets a stored rate from base to quote as quote-currency units per base unit: storing USD→CLP at 935 means one USD buys 935 CLP. Lookup uses a direct rate, a reciprocal rate, or breadth-first triangulation through connected currencies. A disconnected pair is an error.

Pricers request spot rates from this graph and determine which amounts to convert and which currency to report. Ordinary FX requests use the stored spot market even when the request carries a date. To select a historical FX market, load the corresponding snapshot as described below.

Coherent historical markets

MarketSnapshot records one observation instant together with a complete set of native construction inputs. MarketSnapshotStore holds such observations. Snapshots preserve quote levels, FX and configuration—including direct zero rates—but not constructed curves or an AD tape. Contexts supplied with runtime market objects cannot be captured as if those objects were serializable construction instructions.

Timestamp selection and valuation date answer different questions. Previous selects the latest instant at or before the request; Exact requires the instant itself; Closest chooses the nearest observation, preferring the earlier on ties, and can select future data. Timestamp values normalize offset-aware input to UTC. Duplicate equivalent instants are rejected.

The selected snapshot retains its own market reference date. Selecting Friday’s market for a Monday request does not roll Friday’s curves to Monday. Inputs from several snapshots are not blended. A selected bid or ask market rebuilds all consumed instrument, zero-rate and discount-factor quotes at that level; spot FX is side-independent.

Fixing histories are supplied separately and do not carry publication-vintage filtering. Historical valuation therefore requires the application to supply the appropriate historical observations, including any revision policy. The Python and Excel workflows use the same native archive and selection rules.