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

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

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129 changes: 128 additions & 1 deletion src/markets/forex/quotes/forwardpoints.rs
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Original file line number Diff line number Diff line change
Expand Up @@ -124,7 +124,7 @@ impl Observable for FXForwardHelper {
mod tests {
use crate::error::Result;
use crate::markets::forex::quotes::forwardpoints::{FXForwardHelper, FXForwardQuote};
use crate::tests::common::{sample_fx_forward_helper, setup};
use crate::tests::common::{bloomberg_eurusd_fx_forward_helper, sample_fx_forward_helper, setup};
use crate::time::calendars::JointCalendar;
use crate::time::calendars::Target;
use crate::time::calendars::UnitedKingdom;
Expand Down Expand Up @@ -392,6 +392,133 @@ mod tests {
Ok(())
}

/// Far-leg settlement dates from the Bloomberg EUR/USD helper must match the screenshot.
#[test]
fn test_bloomberg_eurusd_settlement_dates() -> Result<()> {
let helper = bloomberg_eurusd_fx_forward_helper();
let cal = JointCalendar::new(vec![
Box::new(Target),
Box::new(UnitedStates::default()),
]);
let val = helper.valuation_date;

assert_eq!(
Period::ON.settlement_date(val, &cal)?,
NaiveDate::from_ymd_opt(2026, 5, 13).unwrap()
);
assert_eq!(
Period::TN.settlement_date(val, &cal)?,
NaiveDate::from_ymd_opt(2026, 5, 14).unwrap()
);
assert_eq!(
Period::SN.settlement_date(val, &cal)?,
NaiveDate::from_ymd_opt(2026, 5, 15).unwrap()
);
assert_eq!(
Period::Weeks(1).settlement_date(val, &cal)?,
NaiveDate::from_ymd_opt(2026, 5, 21).unwrap()
);
assert_eq!(
Period::Weeks(2).settlement_date(val, &cal)?,
NaiveDate::from_ymd_opt(2026, 5, 28).unwrap()
);
assert_eq!(
Period::Months(2).settlement_date(val, &cal)?,
NaiveDate::from_ymd_opt(2026, 7, 14).unwrap()
);
assert_eq!(
Period::Months(4).settlement_date(val, &cal)?,
NaiveDate::from_ymd_opt(2026, 9, 14).unwrap()
);

Ok(())
}

/// get_forward returns exact Bloomberg Fwds Bid values at each tenor's far-leg date.
#[test]
fn test_bloomberg_eurusd_get_forward_exact() -> Result<()> {
let helper = bloomberg_eurusd_fx_forward_helper();
let cal = JointCalendar::new(vec![
Box::new(Target),
Box::new(UnitedStates::default()),
]);

assert_eq!(
helper.get_forward(NaiveDate::from_ymd_opt(2026, 5, 13).unwrap(), &cal)?,
Some(1.174188)
);
assert_eq!(
helper.get_forward(NaiveDate::from_ymd_opt(2026, 5, 14).unwrap(), &cal)?,
Some(1.174244)
);
assert_eq!(
helper.get_forward(NaiveDate::from_ymd_opt(2026, 5, 15).unwrap(), &cal)?,
Some(1.174354)
);
assert_eq!(
helper.get_forward(NaiveDate::from_ymd_opt(2026, 5, 21).unwrap(), &cal)?,
Some(1.174682)
);
assert_eq!(
helper.get_forward(NaiveDate::from_ymd_opt(2026, 5, 28).unwrap(), &cal)?,
Some(1.175068)
);
assert_eq!(
helper.get_forward(NaiveDate::from_ymd_opt(2026, 7, 14).unwrap(), &cal)?,
Some(1.177487)
);
assert_eq!(
helper.get_forward(NaiveDate::from_ymd_opt(2026, 9, 14).unwrap(), &cal)?,
Some(1.180255)
);

Ok(())
}

/// Linear interpolation between 1W and 2W Bloomberg tenors.
#[test]
fn test_bloomberg_eurusd_get_forward_interpolation() -> Result<()> {
let helper = bloomberg_eurusd_fx_forward_helper();
let cal = JointCalendar::new(vec![
Box::new(Target),
Box::new(UnitedStates::default()),
]);

// Midpoint between 1W (2026-05-21, 1.174682) and 2W (2026-05-28, 1.175068)
// Target: 2026-05-26 (Tuesday, 5 days after 1W, 2 days before 2W)
let target = NaiveDate::from_ymd_opt(2026, 5, 26).unwrap();
let result = helper.get_forward(target, &cal)?.unwrap();
let expected = 1.174682 + (1.175068 - 1.174682) * 5.0 / 7.0;
assert!((result - expected).abs() < 1e-10);

Ok(())
}

/// ON pre-spot forward is below TN (spot-date), consistent with
/// negative ON swap points in the Bloomberg screenshot.
#[test]
fn test_bloomberg_eurusd_on_below_tn() -> Result<()> {
let helper = bloomberg_eurusd_fx_forward_helper();
let cal = JointCalendar::new(vec![
Box::new(Target),
Box::new(UnitedStates::default()),
]);

let on_fwd = helper
.get_forward(NaiveDate::from_ymd_opt(2026, 5, 13).unwrap(), &cal)?
.unwrap();
let tn_fwd = helper
.get_forward(NaiveDate::from_ymd_opt(2026, 5, 14).unwrap(), &cal)?
.unwrap();

assert!(
on_fwd < tn_fwd,
"ON outright ({on_fwd}) should be below TN/spot ({tn_fwd}) reflecting negative ON swap pts"
);

Ok(())
}

#[test]
fn test_notify_observers_prune_and_notify() -> Result<()> {
// Create one dead observer (dropped before notification) and one live observer.
Expand Down
19 changes: 19 additions & 0 deletions src/tests/common.rs
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -113,6 +113,25 @@ pub fn sample_yield_term_structure() -> YieldTermMarketData {
)
}

/// Bloomberg EUR/USD forward curve, valuation 2026-05-12 (pricing date from screenshot).
/// Spot date is 2026-05-14 ("Value 05/14/26"). Values are approximate Fwds Bid outright rates.
pub fn bloomberg_eurusd_fx_forward_helper() -> FXForwardHelper {
let valuation_date = NaiveDate::from_ymd_opt(2026, 5, 12).unwrap();
FXForwardHelper::new(
valuation_date,
1.17435_f64,
vec![
FXForwardQuote { tenor: Period::ON, value: 1.174188 }, // far 05/13/26
FXForwardQuote { tenor: Period::TN, value: 1.174244 }, // far 05/14/26 = spot
FXForwardQuote { tenor: Period::SN, value: 1.174354 }, // far 05/15/26
FXForwardQuote { tenor: Period::Weeks(1), value: 1.174682 }, // far 05/21/26
FXForwardQuote { tenor: Period::Weeks(2), value: 1.175068 }, // far 05/28/26
FXForwardQuote { tenor: Period::Months(2), value: 1.177487 }, // far 07/14/26
FXForwardQuote { tenor: Period::Months(4), value: 1.180255 }, // far 09/14/26
],
)
}

pub fn sample_fx_forward_helper() -> FXForwardHelper {
let valuation_date = NaiveDate::from_ymd_opt(2023, 10, 17).unwrap();
let spot_ref = 1.1f64;
Expand Down
118 changes: 116 additions & 2 deletions src/time/period.rs
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -16,6 +16,7 @@ pub const TWO_DAYS: TimeDelta = const_unwrap!(Duration::try_days(2));
#[derive(Deserialize, Serialize, PartialEq, Clone, Copy, Debug)]
pub enum Period {
ON,
TN,
SPOT,
SN,
Days(i64),
Expand All @@ -32,8 +33,9 @@ impl Period {
) -> Result<NaiveDate> {
// TODO: Change spot as T+2 to be linked to currency.
let target_date = match self {
Period::ON => valuation_date,
_ => valuation_date + TWO_DAYS,
Period::ON => valuation_date, // base = T
Period::TN => valuation_date + ONE_DAY, // base = T+1 (tom)
_ => valuation_date + TWO_DAYS, // base = T+2 (spot)
};
let mut settlement_date = (target_date + *self)?;
if settlement_date >= calendar.end_of_month(settlement_date) {
Expand All @@ -45,6 +47,34 @@ impl Period {

Ok(settlement_date)
}

/// Returns the near-leg settlement date for FX swap periods (ON/TN/SN).
/// Returns `None` for single outright tenors (SPOT and longer).
///
/// - `ON`: near = T (valuation date)
/// - `TN`: near = T+1 (tom), first business day after valuation
/// - `SN`: near = spot date (T+2, adjusted for holidays)
pub fn near_date(
&self,
valuation_date: NaiveDate,
calendar: &dyn Calendar,
) -> Result<Option<NaiveDate>> {
match self {
Period::ON => Ok(Some(valuation_date)),
Period::TN => {
let mut d = valuation_date + ONE_DAY;
while !calendar.is_business_day(d) {
d += ONE_DAY;
}
Ok(Some(d))
}
Period::SN => {
let spot = Period::SPOT.settlement_date(valuation_date, calendar)?;
Ok(Some(spot))
}
_ => Ok(None),
}
}
}

impl Add<Period> for NaiveDate {
Expand All @@ -53,6 +83,7 @@ impl Add<Period> for NaiveDate {
fn add(self, rhs: Period) -> Self::Output {
let date = match rhs {
Period::ON => self + ONE_DAY,
Period::TN => self + ONE_DAY,
Period::SPOT => self,
Period::SN => self + ONE_DAY,
Period::Days(num) => {
Expand All @@ -79,6 +110,7 @@ impl Sub<Period> for NaiveDate {
fn sub(self, rhs: Period) -> Self::Output {
let date = match rhs {
Period::ON => self - ONE_DAY,
Period::TN => self - ONE_DAY,
Period::SPOT => self,
Period::SN => self - ONE_DAY,
Period::Days(num) => {
Expand All @@ -105,6 +137,7 @@ impl Mul<Period> for u32 {
fn mul(self, rhs: Period) -> Self::Output {
match rhs {
Period::ON => Period::ON,
Period::TN => Period::TN,
Period::SPOT => Period::SPOT,
Period::SN => Period::SN,
Period::Days(num) => Period::Days(num * self as i64),
Expand All @@ -119,7 +152,9 @@ impl Mul<Period> for u32 {
mod tests {
use super::Period;
use crate::error::Result;
use crate::time::calendars::{JointCalendar, Target, UnitedStates};
use chrono::NaiveDate;

#[test]
fn test_settlement_date_target_add() -> Result<()> {
let current_date = NaiveDate::from_ymd_opt(2023, 10, 17).unwrap();
Expand Down Expand Up @@ -191,4 +226,83 @@ mod tests {
assert_eq!(2 * Period::Weeks(1), Period::Weeks(2));
assert_eq!(2 * Period::Days(1), Period::Days(2));
}

/// Settlement dates match the Bloomberg EUR/USD forward curve screenshot.
/// Valuation date: 2026-05-12 (Tuesday); spot date: 2026-05-14 ("Value 05/14/26").
#[test]
fn test_bloomberg_eurusd_settlement_dates_20260512() -> Result<()> {
let val = NaiveDate::from_ymd_opt(2026, 5, 12).unwrap();
let cal = JointCalendar::new(vec![
Box::new(Target),
Box::new(UnitedStates::default()),
]);

assert_eq!(
Period::ON.settlement_date(val, &cal)?,
NaiveDate::from_ymd_opt(2026, 5, 13).unwrap()
);
assert_eq!(
Period::TN.settlement_date(val, &cal)?,
NaiveDate::from_ymd_opt(2026, 5, 14).unwrap()
);
assert_eq!(
Period::SPOT.settlement_date(val, &cal)?,
NaiveDate::from_ymd_opt(2026, 5, 14).unwrap()
);
assert_eq!(
Period::SN.settlement_date(val, &cal)?,
NaiveDate::from_ymd_opt(2026, 5, 15).unwrap()
);
assert_eq!(
Period::Weeks(1).settlement_date(val, &cal)?,
NaiveDate::from_ymd_opt(2026, 5, 21).unwrap()
);
assert_eq!(
Period::Weeks(2).settlement_date(val, &cal)?,
NaiveDate::from_ymd_opt(2026, 5, 28).unwrap()
);
assert_eq!(
Period::Months(2).settlement_date(val, &cal)?,
NaiveDate::from_ymd_opt(2026, 7, 14).unwrap()
);
assert_eq!(
Period::Months(4).settlement_date(val, &cal)?,
NaiveDate::from_ymd_opt(2026, 9, 14).unwrap()
);

Ok(())
}

/// near_date() returns the near-leg date for ON/TN/SN FX swaps,
/// cross-checked against the Bloomberg screenshot (valuation 2026-05-12).
#[test]
fn test_bloomberg_eurusd_near_dates_20260512() -> Result<()> {
let val = NaiveDate::from_ymd_opt(2026, 5, 12).unwrap();
let cal = JointCalendar::new(vec![
Box::new(Target),
Box::new(UnitedStates::default()),
]);

// ON: near = T (today), far = T+1
assert_eq!(
Period::ON.near_date(val, &cal)?,
Some(NaiveDate::from_ymd_opt(2026, 5, 12).unwrap())
);
// TN: near = T+1 (tom), far = T+2 = spot
assert_eq!(
Period::TN.near_date(val, &cal)?,
Some(NaiveDate::from_ymd_opt(2026, 5, 13).unwrap())
);
// SN: near = spot (T+2), far = T+3
assert_eq!(
Period::SN.near_date(val, &cal)?,
Some(NaiveDate::from_ymd_opt(2026, 5, 14).unwrap())
);
// Single outrights have no near leg
assert_eq!(Period::SPOT.near_date(val, &cal)?, None);
assert_eq!(Period::Weeks(1).near_date(val, &cal)?, None);
assert_eq!(Period::Months(1).near_date(val, &cal)?, None);

Ok(())
}
}
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