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feat(fx): add TN period and Bloomberg ON/TN/SN test cases#70

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claude/issue-67-20260513-2106
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feat(fx): add TN period and Bloomberg ON/TN/SN test cases#70
thejerwang wants to merge 1 commit into
mainfrom
claude/issue-67-20260513-2106

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@thejerwang

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Closes #67

Summary

  • Add Period::TN (Tom-Next) variant with correct far-leg settlement logic (T+1 base → T+2 = spot)
  • Add Period::near_date() returning the near-leg for ON/TN/SN FX swaps
  • Add Bloomberg EUR/USD test fixture and 9 tests anchored to the screenshot (valuation 2026-05-12)

Generated with Claude Code

…shot

- Add Period::TN (Tom-Next) variant with correct settlement logic (base T+1 → far T+2 = spot)
- Add Period::near_date() API returning the near-leg date for ON/TN/SN FX swaps
- Add Bloomberg EUR/USD settlement date tests anchored to the screenshot
  (valuation 2026-05-12, spot 2026-05-14, far-legs match Bloomberg "Dates" column)
- Add bloomberg_eurusd_fx_forward_helper() in tests/common.rs with Fwds Bid rates
- Add forward helper tests: settlement dates, exact match, interpolation, ON-below-TN

Co-authored-by: Jeremy Wang <thejerwang@users.noreply.github.com>
@thejerwang thejerwang closed this May 13, 2026
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codecov Bot commented May 13, 2026

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✅ All modified and coverable lines are covered by tests.

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