data

The data module encompasses everything data related.

That is, anything that can be observed, either in markets or derived from market observable data, and also facilities to manage that data.

Another form of data is contextual (or reference) data. These are things such as calendars and date conventions. While there are facilities to handle these data inside the data module, the underlying implementations are in other modules, such as the time module.

Curves

Curves can be fit to market data. Here we include an example of a spot curve being fitted.

use time::{macros::date, Date};
use RustQuant::data::*;
use RustQuant::time::*;

fn main() {
    let mut spot_curve = SpotCurve::<Date, AustraliaCalendar>::new(&DATES, &RATES);

    spot_curve.get_rates(&NEW_DATES);

    spot_curve.plot();
}

const DATES: [Date; 33] = [
    date!(2024 - 11 - 03),
    date!(2025 - 02 - 02),
    date!(2025 - 05 - 04),
    date!(2025 - 08 - 04),
    date!(2026 - 08 - 04),
    date!(2027 - 08 - 04),
    date!(2028 - 08 - 03),
    date!(2029 - 08 - 03),
    date!(2030 - 08 - 03),
    date!(2031 - 08 - 03),
    date!(2032 - 08 - 02),
    date!(2033 - 08 - 02),
    date!(2034 - 08 - 02),
    date!(2035 - 08 - 02),
    date!(2036 - 08 - 01),
    date!(2037 - 08 - 01),
    date!(2038 - 08 - 01),
    date!(2039 - 08 - 01),
    date!(2040 - 07 - 31),
    date!(2041 - 07 - 31),
    date!(2042 - 07 - 31),
    date!(2043 - 07 - 31),
    date!(2044 - 07 - 30),
    date!(2045 - 07 - 30),
    date!(2046 - 07 - 30),
    date!(2047 - 07 - 30),
    date!(2048 - 07 - 29),
    date!(2049 - 07 - 29),
    date!(2050 - 07 - 29),
    date!(2051 - 07 - 29),
    date!(2052 - 07 - 28),
    date!(2053 - 07 - 28),
    date!(2054 - 07 - 28),
];

#[rustfmt::skip]
const RATES: [f64; 33] = [
    0.03400521, 
    0.03259227, 
    0.0313705, 
    0.03031886, 
    0.02746567, 
    0.02614014, 
    0.02574612, 
    0.02590431,
    0.02637474, 
    0.02700684, 
    0.02770726, 
    0.02841916, 
    0.02910886, 
    0.02975736, 
    0.03035484, 
    0.03089715,
    0.0313836, 
    0.03181554, 
    0.03219547, 
    0.03252652, 
    0.03281203, 
    0.03305541, 
    0.03326001, 
    0.033429,
    0.03356541, 
    0.03367205, 
    0.03375153, 
    0.03380629, 
    0.03383858, 
    0.03385046, 
    0.03384384, 
    0.03382048,
    0.033782,
];

const NEW_DATES: [Date; 14] = [
    date!(2025 - 01 - 01),
    date!(2026 - 01 - 01),
    date!(2027 - 01 - 01),
    date!(2028 - 01 - 01),
    date!(2029 - 01 - 01),
    date!(2030 - 01 - 01),
    date!(2033 - 01 - 01),
    date!(2036 - 01 - 01),
    date!(2040 - 01 - 01),
    date!(2044 - 01 - 01),
    date!(2046 - 01 - 01),
    date!(2048 - 01 - 01),
    date!(2050 - 01 - 01),
    date!(2053 - 01 - 01),
];