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Zero-coupon bonds

ZeroCouponBond is an additive Rust-core instrument. It composes the existing Bond, pays no coupons, and creates exactly one redemption cash flow.

Input Meaning
settlement_days Business-day lag, using the bond calendar
calendar Settlement and redemption adjustment calendar
face_amount Outstanding notional before payment
maturity_date Unadjusted contractual maturity
payment_convention Adjustment of the redemption payment date
redemption Payment percentage, per 100 of face amount
issue_date Optional floor on settlement
settings Explicit evaluation-date handle

QuantLib's defaults are Following, redemption 100 and no issue date. Rust makes these arguments explicit, consistent with the existing fixed-rate constructor.

use libitofin::instruments::ZeroCouponBond;
use libitofin::settings::Settings;
use libitofin::shared::shared;
use libitofin::time::businessdayconvention::BusinessDayConvention;
use libitofin::time::calendars::WeekendsOnly;
use libitofin::time::date::{Date, Month};

let settings = shared(Settings::new());
settings.set_evaluation_date(Date::new(28, Month::October, 2026));
let zero = ZeroCouponBond::new(
    2, WeekendsOnly::new(), 1_000.0,
    Date::new(31, Month::October, 2026),
    BusinessDayConvention::Following, 100.0, None, settings,
)?;
assert_eq!(zero.bond().cashflows().len(), 1);
# Ok::<(), libitofin::errors::QlError>(())
  • Contractual maturity remains October 31. Redemption pays November 2.
  • bond() exposes the existing settlement, notional, accrual and yield APIs.
  • bond_mut() attaches a DiscountingBondEngine through Instrument::base_mut and exposes lazy clean/dirty prices. into_bond() transfers ownership.
  • Accrued interest is zero. Clean and dirty prices coincide, quoted per 100.
  • Outstanding notional becomes zero on the adjusted redemption date. Thus a settlement on payment has zero price even when valuation precedes payment.
  • Expiry follows evaluation-date cash-flow inclusion settings, not settlement or contractual maturity. NPV and settlement value can therefore differ.
  • Issue date floors settlement, even after redemption. The native empty-leg constructor does not enforce issue before payment; this wrapper preserves it.
  • Face, redemption and face * redemption / 100 must be finite. Null maturity dates return an error before calendar adjustment. Zero amounts are valid. The finite guards are stricter than native QuantLib, only for this new constructor.
  • No evaluation date gives a settlement error unless an explicit date is used. An unexpired bond needs an engine to provide NPV and settlement value.

Validation uses twelve tracked outputs from compiled QuantLib 1.43, separately from source inspection at revision 9863b578af0caa4cecabf697196533e84a8308b6. See crates/libitofin/tests/fixtures/medium3_zero_coupon/README.md for provenance and scope. The Rust constructor contract above is unchanged.

C, Go and Python fixed/zero bond bindings now provide construction, discounting and common bond inspectors. Those public facades require positive finite face amounts and redemption percentages, while the Rust constructor continues to accept zero amounts. Floating/callable bindings and yield/Z-spread analytics are not included in this foundation slice.