accrua-rs aims to be an accrued interest and coupon settlement calculation library, focusing on the OTC derivatives market and providing users the tools based on the conventions defined by ISDA.
This is a pre-alpha version, which, as of now, I consider a placeholder, rather than a library that could be used in any environment.
- Business calendar trait (providing methods for the date adjustment)
- The most commonly used business calendars
- Floating rate index type/trait
- Money/currency type (will use an external crate most likely)
- Day count fractions and fuctions used for their calculation
- Compounding
- Currency holiday calendar
- Fixed income types
- Bonds
- Swaps/Swap legs