Market #67

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1. claude commented on May 12, 2026

   

   claudebot

   on May 12, 2026 – with Claude

   Last edited by claude

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   Claude finished @thejerwang's task in 10m 2s —— View job • claude/issue-67-20260512-1241 • Create PR ➔

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   Analysis & Implementation Complete

   • Gather context (read Bloomberg image and issue)
   • Read CLAUDE.md and explore existing FX market code
   • Research ON/TN/SN Bloomberg conventions and QuantLib treatment
   • Add TN (Tom-Next) to Period enum with correct settlement date logic
   • Add near_date() method to Period for 2-leg swap support
   • Update FXForwardHelper documentation for single forward vs swap distinction
   • Update sample/tests to cover ON and TN

   ---

   Bloomberg Quote Conventions: ON / TN / SN

   The Bloomberg screen shows EUR/USD (spot ~1.1744, spot date 05/14/26). The three short-end tenors are 2-leg FX swap quotes:

   Tenor	Bloomberg name	Near leg	Far leg	Bloomberg "Pts"
   ON	Overnight	T (today)	T+1	swap pts for T→T+1 period
   TN	Tom-Next	T+1 (tom)	T+2 (= spot for T+2 pairs)	swap pts for T+1→T+2 period
   SN	Spot-Next	T+2 (spot)	T+3	swap pts for T+2→T+3 period

   Bloomberg's "Pts" column = forward points for that individual overnight period (not cumulative).
   Bloomberg's "Fwds" column = outright forward rate at the far-leg date.

   From the image (EUR/USD, today 05/12/26):

   • ON far-leg date: 05/13/26, Fwds ≈ 1.1742 (below spot → negative forward pts, i.e. USD rates > EUR rates)
   • TN far-leg date: 05/14/26 = spot date → Fwds ≈ spot itself
   • SN far-leg date: 05/15/26, Fwds > spot

   ---

   Single Forward vs 2-Leg Swap

   Single outright forward: one cash exchange at the far-leg date.
   → Use FXForwardHelper::get_forward(settlement_date, cal) as before.

   2-leg FX swap (ON/TN/SN): simultaneous buy at near leg, sell at far leg (or vice versa).
   → Call get_forward for each leg separately, using:

   • Period::ON.near_date(val_date, cal) → near leg date (T)
   • Period::ON.settlement_date(val_date, cal) → far leg date (T+1)

   ---

   What Was Missing / Fixed

   TN was absent from the Period enum. ON and SN existed but not TN. Added in src/time/period.rs:

   pub enum Period {
       ON,   // Overnight: near=T, far=T+1
       TN,   // Tom-Next:  near=T+1, far=T+2 (spot for T+2 pairs)  ← NEW
       SPOT,
       SN,   // Spot-Next: near=spot, far=spot+1
       // ...
   }

   Settlement date logic for TN — base starts from T+1 (tom), then adds 1 day to land at the spot date (T+2):

   let target_date = match self {
       Period::ON => valuation_date,            // base = T
       Period::TN => valuation_date + ONE_DAY,  // base = T+1  ← NEW
       _          => valuation_date + TWO_DAYS, // base = T+2 (spot)
   };

   New near_date() API for pricing 2-leg swaps per-leg:

   // Example: pricing an ON FX swap
   let near = Period::ON.near_date(val_date, &cal)?;   // Some(T)
   let far  = Period::ON.settlement_date(val_date, &cal)?; // T+1
   let near_fwd = helper.get_forward(near.unwrap(), &cal)?;
   let far_fwd  = helper.get_forward(far, &cal)?;
   // swap P&L = far_leg_payoff - near_leg_payoff

   ---

   QuantLib Alignment

   QuantLib's FxSwapRateHelper explicitly models both legs of an FX swap, with separate near/far settlement dates. The new near_date() + settlement_date() pair mirrors that dual-date structure. QuantLib also does not have a named "TN" constant but constructs it from a 1-day offset off the tom date — equivalent to what Period::TN now does here.

   ---

   Files Changed

   File	Change
   src/time/period.rs	Added TN variant, near_date() method, updated all Add/Sub/Mul impls, 4 new tests
   src/markets/forex/quotes/forwardpoints.rs	Extended FXForwardQuote doc with Bloomberg convention table + single-vs-swap explanation
   src/tests/common.rs	Added Period::ON quote (negative pre-spot pts) to sample forward helper
2. thejerwang commented on May 13, 2026

   

   thejerwang

   on May 13, 2026

   CollaboratorAuthor

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   @claude can you add test cases of the screenshot
3. claude commented on May 13, 2026

   

   claudebot

   on May 13, 2026 – with Claude

   Last edited by claude

   More actions

   Claude finished @thejerwang's task in 9m 33s —— View job • claude/issue-67-20260513-2106 • Create PR ➔

   ---

   Adding test cases from the Bloomberg screenshot

   • Read screenshot and gather context
   • Read existing codebase (period.rs, forwardpoints.rs, tests/common.rs)
   • Add TN (Tom-Next) period to enum — was missing from codebase
   • Add near_date() method for ON/TN/SN swap leg support
   • Add Bloomberg settlement date tests to period.rs
   • Add bloomberg_eurusd_fx_forward_helper() to tests/common.rs
   • Add Bloomberg forward curve tests to forwardpoints.rs
   • Commit and push

   ---

   What was added

   Period::TN (Tom-Next) — the variant was missing entirely from the enum. Added with correct settlement logic: base date = T+1 (tom), far-leg = T+2 = spot date.

   Period::near_date() — returns the near-leg settlement date for 2-leg FX swaps:

   • ON → near = T (today)
   • TN → near = T+1 (tom)
   • SN → near = spot (T+2)
   • SPOT and longer → None (single outright, no near leg)

   Bloomberg test data (EUR/USD, pricing date 2026-05-12, spot "Value 05/14/26"):

   Tenor	Far-leg date (Bloomberg)	Fwds Bid
   ON	2026-05-13	1.174188
   TN	2026-05-14 = spot	1.174244
   SN	2026-05-15	1.174354
   1W	2026-05-21	1.174682
   2W	2026-05-28	1.175068
   2M	2026-07-14	1.177487
   4M	2026-09-14	1.180255

   New tests (9 total across period.rs and forwardpoints.rs):

   • test_bloomberg_eurusd_settlement_dates_20260512 — all far-leg dates match Bloomberg screen
   • test_bloomberg_eurusd_near_dates_20260512 — near-leg dates for ON/TN/SN
   • test_bloomberg_eurusd_settlement_dates — same in forwardpoints.rs via helper
   • test_bloomberg_eurusd_get_forward_exact — exact rate match at each tenor's date
   • test_bloomberg_eurusd_get_forward_interpolation — linear interp between 1W and 2W
   • test_bloomberg_eurusd_on_below_tn — ON outright < TN outright (negative ON swap pts)

   • claude/issue-67-20260513-2106
4. thejerwang

   closed this as completedin #68on May 13, 2026