Cashflows & Legs

In SabiQuant, complex financial contracts (such as fixed rate bonds, floating rate notes, and interest rate swaps) are composed of one or more Legs, each containing ordered Cashflows.

Cashflow Types

• SimpleCashFlow: A single bullet payment (e.g. principal redemption) at a specific date.
• FixedRateCoupon: An interest coupon computed as $\text{Notional} \times \text{Rate} \times \tau$, where $\tau$ is the day-count year fraction over the accrual period.

Net Present Value (NPV)

The present value of a leg given discount factors $d(t_i)$ is:

$\text{NPV} = \sum_{i=1}^n c_i \cdot d(t_i)$

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Rust Code Example

use sabiquant::core::Date;
use sabiquant::schedules::{Leg, SimpleCashFlow, FixedRateCoupon};

fn main() -> Result<(), Box<dyn std::error::Error>> {
    let mut fixed_leg = Leg::new();

    // Add scheduled coupon cash flows
    let c1_date = Date::from_ymd(2025, 6, 30)?;
    let c2_date = Date::from_ymd(2025, 12, 31)?;
    let maturity = Date::from_ymd(2025, 12, 31)?;

    // Two semi-annual coupons of $25,000 on a $1,000,000 notional (5.0% annual)
    fixed_leg.push(SimpleCashFlow::new(c1_date, 25_000.0));
    fixed_leg.push(SimpleCashFlow::new(c2_date, 25_000.0));

    // Principal repayment at maturity
    fixed_leg.push(SimpleCashFlow::new(maturity, 1_000_000.0));

    // Valuation parameters
    let settlement = Date::from_ymd(2025, 1, 1)?;
    let discount_rate = 0.048; // 4.8% flat annual rate

    let npv = fixed_leg.npv(settlement, discount_rate)?;
    println!("Total Leg NPV: ${:.2}", npv);

    Ok(())
}