1 unstable release
0.1.0-alpha.1 | Jan 16, 2022 |
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#522 in Date and time
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