Implementation:Avhz RustQuant CouponBond

Knowledge Sources	RustQuant
Domains	Fixed_Income, Quantitative_Finance
Last Updated	2026-02-07 19:00 GMT

Overview

Implements a coupon bond as a debt instrument that pays periodic interest coupons and returns the face value at maturity, modeled internally as a portfolio of zero-coupon bonds.

Description

The CouponBond struct represents a fixed-income instrument that makes regular coupon payments over its lifetime and repays the principal at maturity. The implementation provides two representations: CouponBond<C>, which is a full coupon bond parameterized by a calendar type for business day conventions, and CouponBond2, which explicitly models the bond as a portfolio of ZeroCouponBond instances stored in a BTreeMap keyed by payment date.

The CouponBond<C> struct holds all essential bond parameters including face value, coupon rate, coupon frequency, evaluation and expiration dates, a discount curve, and an optional currency. The construct_coupons method generates the coupon schedule by computing dates and amounts based on the frequency and coupon rate, including the final payment which combines the last coupon with the face value. Pricing is performed via the Instrument trait, which discounts each coupon cash flow using the provided discount curve and sums the present values.

Usage

Use this struct when you need to price a fixed-rate coupon bond given a discount curve. It is suitable for bonds with regular periodic coupon payments (e.g., semi-annual, quarterly) and supports customizable calendars and date rolling conventions.

Code Reference

Source Location

• Repository: RustQuant
• File: crates/RustQuant_instruments/src/bonds/coupon_bond.rs
• Lines: 1-241

Signature

pub struct CouponBond<C: Calendar> {
    pub face_value: f64,
    pub schedule: Schedule,
    pub calendar: C,
    pub evaluation_date: Date,
    pub expiration_date: Date,
    pub currency: Option<Currency>,
    pub coupon_rate: f64,
    pub coupon_frequency: Frequency,
    pub settlement_convention: DateRollingConvention,
    pub discount_curve: DiscountCurve<Date, C>,
    pub coupons: BTreeMap<Date, f64>,
}

pub struct CouponBond2 {
    pub coupons: BTreeMap<Date, ZeroCouponBond>,
}

impl<C: Calendar> CouponBond<C> {
    pub fn construct_coupons(&mut self);
}

impl<C: Calendar> Instrument for CouponBond<C> {
    fn price(&self) -> f64;
    fn error(&self) -> Option<f64>;
    fn valuation_date(&self) -> Date;
    fn instrument_type(&self) -> &'static str;
}

impl CouponBond2 {
    pub fn validate_dates(&self) -> bool;
}

Import

use RustQuant::instruments::bonds::coupon_bond::{CouponBond, CouponBond2};

I/O Contract

Inputs

Name	Type	Required	Description
face_value	f64	Yes	The par value of the bond repaid at maturity
schedule	Schedule	Yes	Payment schedule for coupons
calendar	C (Calendar)	Yes	Calendar used for business day adjustments
evaluation_date	Date	Yes	The date the bond is being priced
expiration_date	Date	Yes	The maturity date of the bond
currency	Option<Currency>	No	The currency denomination of the bond
coupon_rate	f64	Yes	The annual coupon rate (e.g. 0.05 for 5%)
coupon_frequency	Frequency	Yes	How often coupons are paid (e.g. SemiAnnually)
settlement_convention	DateRollingConvention	Yes	Convention for adjusting settlement dates
discount_curve	DiscountCurve<Date, C>	Yes	Yield curve used for discounting cash flows
coupons	BTreeMap<Date, f64>	Yes	Map of coupon dates to coupon amounts (populated by construct_coupons)

Outputs

Name	Type	Description
price()	f64	The net present value of all coupon cash flows and face value
error()	Option<f64>	Always returns None (no error estimate available)
valuation_date()	Date	Returns the evaluation_date
instrument_type()	&'static str	Returns "Coupon Bond"
validate_dates() (CouponBond2)	bool	Returns true if all zero-coupon bonds share the same evaluation date

Usage Examples

use RustQuant::instruments::bonds::coupon_bond::CouponBond;
use RustQuant::instruments::Instrument;
use std::collections::BTreeMap;
use time::Duration;

let today = today();

let mut bond = CouponBond {
    evaluation_date: today,
    expiration_date: today + Duration::days(365 * 2),
    currency: Some(USD),
    coupon_rate: 0.15,
    coupon_frequency: Frequency::SemiAnnually,
    settlement_convention: DateRollingConvention::Actual,
    discount_curve: create_test_discount_curve(today),
    face_value: 1000.0,
    coupons: BTreeMap::new(),
    // calendar and schedule fields also required
};

bond.construct_coupons();
let npv = bond.price();

Related Pages

• Principle:Avhz_RustQuant_Bond_Pricing