convex-spreads

Spread analytics for the Convex fixed income analytics library.

Overview

convex-spreads provides comprehensive spread calculation capabilities:

• G-Spread: Spread over interpolated government bond yield
• I-Spread: Spread over interpolated swap rate
• Z-Spread: Zero-volatility spread over spot curve
• Asset Swap Spread: Par-par and proceeds methodologies
• OAS: Option-adjusted spread for bonds with embedded options
• CDS Basis: Bond spread vs CDS spread for arbitrage analysis
• Discount Margin: Spread over reference rate for floating rate notes

Installation

Add this to your Cargo.toml:

[dependencies]
convex-spreads = "0.1"

Usage

G-Spread Calculation

use convex_spreads::GSpread;
use convex_bonds::FixedRateBond;
use convex_curves::DiscountCurve;

let g_spread = GSpread::calculate(
    &bond,
    dec!(105.5),        // Clean price
    settlement,
    &treasury_curve,
)?;

println!("G-Spread: {:.1} bps", g_spread.as_bps());

Z-Spread Calculation

use convex_spreads::ZSpread;

let z_spread = ZSpread::calculate(
    &bond,
    dec!(105.5),
    settlement,
    &spot_curve,
)?;

println!("Z-Spread: {:.1} bps", z_spread.as_bps());

Asset Swap Spread

use convex_spreads::asw::{AssetSwapSpread, AswMethod};

// Par-par asset swap
let asw_par = AssetSwapSpread::calculate(
    &bond,
    dec!(105.5),
    settlement,
    &discount_curve,
    AswMethod::ParPar,
)?;

// Proceeds asset swap
let asw_proceeds = AssetSwapSpread::calculate(
    &bond,
    dec!(105.5),
    settlement,
    &discount_curve,
    AswMethod::Proceeds,
)?;

Discount Margin for FRNs

use convex_spreads::DiscountMargin;
use convex_bonds::floating::FloatingRateNote;

let dm = DiscountMargin::calculate(
    &frn,
    dec!(99.75),
    settlement,
    &forward_curve,
    &discount_curve,
)?;

println!("Discount Margin: {:.1} bps", dm.as_bps());

OAS Calculation

use convex_spreads::OAS;
use convex_bonds::corporate::CallableBond;

let oas = OAS::calculate(
    &callable_bond,
    dec!(102.5),
    settlement,
    &curve,
    &vol_surface,
    tree_steps: 100,
)?;

println!("OAS: {:.1} bps", oas.as_bps());

Features

• parallel - Enable parallel spread calculations with Rayon

License

This project is licensed under the MIT License - see the LICENSE file for details.