added input file

Author: siddharthqs

derivatives/build/derivatives.exe

@@ -0,0 +1,67 @@
+{"contracts" : [
+{
+"action":"PV",
+"pricer":"Analytical",
+"asset":"IR",
+"rate_data":{
+    "instrument": "Deposit",
+    "currency": "USD",
+    "start_date": "0M",
+    "maturity_date":"1M",
+    "valuation_date": "0M",
+    "notional": 1000000,
+    "fix_rate": 0.055,
+    "day_count": "A360",
+    "business_day_adjustment": 0
+}
+},
+{
+"action":"PV",
+"pricer":"Analytical",
+"asset":"IR",
+"rate_data":{
+    "instrument": "Deposit",
+    "currency": "USD",
+    "start_date": "0M",
+    "maturity_date":"3M",
+    "valuation_date": "0M",
+    "notional": 1000000,
+    "fix_rate": 0.05,
+    "day_count": "A360",
+    "business_day_adjustment": 0
+}
+},
+{
+    "action":"PV",
+    "pricer":"Analytical",
+    "asset":"IR",
+    "rate_data":{
+        "instrument": "FRA",
+        "currency": "USD",
+        "start_date": "3M",
+        "maturity_date":"6M",
+        "valuation_date": "0M",
+        "notional": 1000000,
+        "fix_rate": 0.06,
+        "day_count": "A360",
+        "business_day_adjustment": 0
+    }
+},
+{
+    "action":"PV",
+    "pricer":"Analytical",
+    "asset":"IR",
+    "rate_data":{
+        "instrument": "FRA",
+        "currency": "USD",
+        "start_date": "6M",
+        "maturity_date":"9M",
+        "valuation_date": "0M",
+        "notional": 1000000,
+        "fix_rate": 0.065,
+        "day_count": "A360",
+        "business_day_adjustment": 0
+    }
+}     
+]
+}

derivatives/src/input/IR/ir1.json

@@ -38,6 +38,7 @@ fn adjust_for_weekend(mut date: NaiveDate) -> NaiveDate {
     // Increment the date until it's not a weekend
     while is_holiday(date) || is_holiday(date) {
         date = date.succ();
+
     }
     date
 }

derivatives/src/rates/utils.rs

@@ -45,8 +45,8 @@ pub fn build_curve(mut file: &mut File,output_filename: &str)->() {
         ts.date.push(contract.get_maturity_date());
         ts.rate.push(contract.get_rate());
     }
-    let mut dir = temp_dir();
-    println!("dir {:?}",dir);
+    let mut dir = std::path::PathBuf::from(output_filename);
+
     dir.push("term_structure");
     let ts_dir = dir.as_path();
     if !ts_dir.exists() {
@@ -60,11 +60,11 @@ pub fn build_curve(mut file: &mut File,output_filename: &str)->() {
     }
     file.write_all(output.as_bytes()).expect("Failed to write to file");
 
-    let today = Local::today().naive_utc();
-    let m = ts.interpolate_log_linear(today,NaiveDate::from_ymd(2024, 12, 12));
-    println!("interpolated value {:?}",m);
-    println!("Term Structure {:?}",ts);
-    let mut deposit_test = rates::deposits::Deposit {
+    //let today = Local::today().naive_utc();
+    //let m = ts.interpolate_log_linear(today,NaiveDate::from_ymd(2024, 12, 12));
+    //println!("interpolated value {:?}",m);
+    //println!("Term Structure {:?}",ts);
+    /*let mut deposit_test = rates::deposits::Deposit {
         start_date: today,
         maturity_date: NaiveDate::from_ymd(2024, 1, 17),
         valuation_date: today,
@@ -73,9 +73,9 @@ pub fn build_curve(mut file: &mut File,output_filename: &str)->() {
         day_count: rates::utils::DayCountConvention::Act360,
         business_day_adjustment: 0,
         term_structure: Some(ts.clone()),
-    };
-    println!("PV {:?}",deposit_test.get_pv(&ts));
-    println!("Implied Rate {:?}",deposit_test.get_implied_rates());
+    };*/
+    //println!("PV {:?}",deposit_test.get_pv(&ts));
+    //println!("Implied Rate {:?}",deposit_test.get_implied_rates());
 
 }
 pub fn build_contracts(data: utils::Contract) -> Box<dyn Rates> {