1 unstable release

0.1.0-alpha.1 Jan 16, 2022

#522 in Date and time

Apache-2.0

8KB
88 lines

accrua-rs

accrua-rs aims to be an accruals calculation library, focusing on the OTC derivatives market and providing users the tools as defined in the ISDA.

This is a pre-alpha version, which, as of now, I consider a placeholder, rather than a library that could be used in any environment.

TODO

  • Business calendar trait (providing methods for the date adjustment)
  • The most commonly used business calendars
  • Floating rate index type/trait
  • Money/currency type (will use an external crate most likely)
  • Day count fractions and fuctions used for their calculation
  • Compounding
  • Currency holiday calendar
  • Fixed income types
    • Bonds
    • Swaps/Swap legs

Dependencies

~1MB
~18K SLoC