Interest Rate Swaps

Swap<T> is two Legs: leg 0 fixed, leg 1 floating. Build it with MakeSwap (Your First Swap lists every builder field and default), wrap it in SwapTrade::new(swap, trade_date, notional, side) and price with DiscountedCashflowPricer::<Swap<T>, SwapTrade<T>>::new().

Valuation

For each coupon the pricer computes

\[ \text{NPV} = \sum_{\text{legs}} \text{sign}(\text{leg}) \sum_i N\,r_i\,\tau_i\,P_{d}(T_i) \]

• Fixed coupons: \(r_i\) from the RateDefinition (day counter, compounding, frequency).
• Floating coupons: if accrual_start < evaluation_date the rate is read from the FixingStore (state.get_fixing(index, accrual_start)), otherwise it is projected from the forward curve of the leg’s market_index with forward_rate(start, end, Simple, frequency); the spread is added afterwards.
• \(P_d\) is the discount factor of the curve selected by the discount policy (defaults to the leg’s own index).

Request::FairRate returns the fixed rate that sets NPV to zero:

\[ K^{\ast} = \frac{\text{PV}_{\text{float}}}{\text{Annuity}},\qquad \text{Annuity}=\sum_i N\,\tau_i\,P_d(T_i). \]

Request::Cashflows returns the CashflowsTable with one row per coupon (leg_indices() distinguishes fixed/floating).

Fixings

let mut fixings = FixingStore::default();
fixings.add_fixing(&MarketIndex::SOFR, Date::new(2025, 5, 12), 0.0428);
fixings.fill_missing_fixings(Interpolator::Linear)?;   // optional gap filling
let ctx = PricingContext::new().with_fixing_store(fixings) /* ... */;

JSON: {"SOFR": [{"date": "2025-05-12", "rate": 0.0428}, ...]}. A seasoned swap whose current coupon started before the evaluation date fails with NotFoundErr if the fixing is missing.

Multi-curve swaps

examples/sensitivity (cargo run -p sensitivity) bootstraps SOFR, TermSOFR3m, ICP and the CLP collateral curve, then prices:

• a SOFR OIS swap,
• a Term SOFR swap projected on TermSOFR3m and discounted on SOFR through SingleCurveCSADiscountPolicy::new(MarketIndex::SOFR, Currency::USD),
• an ICP (CLP) swap and cross-currency swaps.

The sensitivity table for the Term SOFR swap contains both BasisSwap_USD_SOFR_TermSOFR3m_* and OIS_USD_SOFR_* rows because the basis curve depends on the SOFR curve through the IFT link described in Curve Bootstrapping.

Basis swaps

let basis = MakeBasisSwap::<DualFwd>::default()
    .with_identifier("USD_SOFR_TSOFR3M_2Y".into())
    .with_start_date(rd).with_maturity_date(rd + Period::from_str("2Y")?)
    .with_notional(10_000_000.0)
    .with_currency(Currency::USD)
    .with_pay_market_index(MarketIndex::SOFR)
    .with_receive_market_index(MarketIndex::TermSOFR3m)
    .with_pay_spread(0.0).with_receive_spread(-0.0012)
    .with_pay_leg_frequency(Frequency::Quarterly)
    .with_receive_leg_frequency(Frequency::Quarterly)
    .build()?;
let trade = BasisSwapTrade::new(basis, rd, 10_000_000.0, Side::LongReceive);

Required: notional, start_date, maturity_date, currency, pay_market_index, receive_market_index, identifier. Defaults: spreads 0.0, both frequencies Quarterly, side LongReceive. Priced with DiscountedCashflowPricer::<BasisSwap<T>, BasisSwapTrade<T>>.

Fixed-income instruments

The same pricer handles the fixed-income builders:

PaymentStructure variants: Bullet, EqualPayments, EqualRedemptions, Zero, Other. Bonds may carry their own discount_index, honoured by FixedIncomeDiscountPolicy.