carlobortolan · carlobortolan · Aug 19, 2025 · Aug 19, 2025 · Aug 19, 2025 · Aug 19, 2025
diff --git a/README.md b/README.md
@@ -21,7 +21,7 @@
 
 Quantrs is a tiny quantitative finance library for Rust.
 It is designed to be as intuitive and easy to use as possible so that you can work with derivatives without the need to write complex code or have a PhD in reading QuantLib documentation.
-The library is still in the early stages of development, and many features are not yet implemented.
+The library is still in the early stages of development and many features are not yet implemented.
 
 Please check out the documentation [here][docs-url].
 
@@ -86,6 +86,18 @@ Quantrs supports options pricing with various models for both vanilla and exotic
 
 </details>
 
+### Fixed Income
+
+- Bond Types
+  - [x] _Zero-Coupon Bonds_
+  - [ ] _Treasury Bonds_ (fixed-rate coupon)
+  - [ ] _Corporate Bonds_ (fixed-rate coupon with credit spreads)
+  - [ ] _Floating-Rate Bonds_ (variable coupon with caps/floors)
+- [ ] Duration (_Macaulay_, _Modified_, _Effective_)
+- [ ] Convexity
+- [ ] Yield Measures (_YTM_, _YTC_, _YTW_)
+- [x] Day Count Conventions (_ACT/365F_, _ACT/365_, _ACT/360_, _30/360 US_, _30/360 Eurobond_, _ACT/ACT ISDA_, _ACT/ACT ICMA_)
+
 ## Usage
 
 Add this to your `Cargo.toml`:

diff --git a/examples/fixed_income.rs b/examples/fixed_income.rs
@@ -0,0 +1,22 @@
+use quantrs::fixed_income::{Bond, DayCount, ZeroCouponBond};
+
+fn main() {
+    let face_value = 1000.0;
+    let maturity = chrono::NaiveDate::from_ymd_opt(2030, 1, 1).unwrap_or_default();
+    let settlement = chrono::NaiveDate::from_ymd_opt(2025, 1, 1).unwrap_or_default();
+    let ytm = 0.05; // 5% yield to maturity
+    let day_count = DayCount::ActActICMA;
+
+    let zero_coupon_bond = ZeroCouponBond::new(face_value, maturity);
+
+    match zero_coupon_bond.price(settlement, ytm, day_count) {
+        Ok(price_result) => {
+            println!("Clean Price: {:.2}", price_result.clean);
+            println!("Dirty Price: {:.2}", price_result.dirty);
+            println!("Accrued Interest: {:.2}", price_result.accrued);
+        }
+        Err(e) => {
+            eprintln!("Error pricing bond: {}", e);
+        }
+    }
+}
diff --git a/src/fixed_income.rs b/src/fixed_income.rs
@@ -18,6 +18,7 @@
 //! - [Zero-Coupon Bonds](bonds/struct.ZeroCouponBond.html)
 
 pub use self::bond_pricing::*;
+pub use self::bonds::*;
 pub use self::cashflow::*;
 pub use self::types::*;
 pub use traits::*;

diff --git a/src/fixed_income/bonds.rs b/src/fixed_income/bonds.rs
@@ -1,11 +1,11 @@
-//! Module for various bond .
+//! Module for various bond types.
 
 // pub use corporate::CorporateBond;
 // pub use floating_rate::FloatingRateBond;
 // pub use treasury::TreasuryBond;
-// pub use zero_coupon::ZeroCouponBond;
+pub use zero_coupon::ZeroCouponBond;
 
 // mod corporate;
 // mod floating_rate;
 // mod treasury;
-// mod zero_coupon;
+mod zero_coupon;
diff --git a/src/fixed_income/bonds/zero_coupon.rs b/src/fixed_income/bonds/zero_coupon.rs
@@ -0,0 +1,83 @@
+/// Zero Coupon Bond implementation
+///
+/// Example:
+///
+/// use quantrs::fixed_income::{Bond, DayCount, ZeroCouponBond};
+/// fn main() {
+///     let face_value = 1000.0;
+///     let maturity = chrono::NaiveDate::from_ymd_opt(2030, 1, 1).unwrap_or_default();
+///     let settlement = chrono::NaiveDate::from_ymd_opt(2025, 1, 1).unwrap_or_default();
+///     let ytm = 0.05; // 5% yield to maturity
+///     let day_count = DayCount::ActActICMA;
+///     let zero_coupon_bond = ZeroCouponBond::new(face_value, maturity);
+///     match zero_coupon_bond.price(settlement, ytm, day_count) {
+///         Ok(price_result) => {
+///             println!("Clean Price: {:.2}", price_result.clean);
+///             println!("Dirty Price: {:.2}", price_result.dirty);
+///             println!("Accrued Interest: {:.2}", price_result.accrued);
+///         }
+///         Err(e) => {
+///             eprintln!("Error pricing bond: {}", e);
+///         }
+///     }
+/// }
+///
+/// Note: Zero coupon bonds do not have accrued interest.
+///
+/// # References
+/// - Fabozzi, Frank J. "Bond Markets, Analysis and Strategies." 9th Edition. Pearson, 2013.
+/// - https://dqydj.com/zero-coupon-bond-calculator
+use crate::fixed_income::{Bond, BondPricingError, DayCount, PriceResult};
+use chrono::NaiveDate;
+
+#[derive(Debug, Clone)]
+pub struct ZeroCouponBond {
+    pub face_value: f64,
+    pub maturity: NaiveDate,
+}
+
+impl ZeroCouponBond {
+    pub fn new(face_value: f64, maturity: NaiveDate) -> Self {
+        Self {
+            face_value,
+            maturity,
+        }
+    }
+}
+
+impl Bond for ZeroCouponBond {
+    fn price(
+        &self,
+        settlement: NaiveDate,
+        ytm: f64,
+        day_count: DayCount,
+    ) -> Result<PriceResult, BondPricingError> {
+        if ytm < 0.0 {
+            return Err(BondPricingError::invalid_yield(ytm));
+        }
+
+        if settlement >= self.maturity {
+            return Err(BondPricingError::settlement_after_maturity(
+                settlement,
+                self.maturity,
+            ));
+        }
+
+        let years_to_maturity = crate::fixed_income::DayCountConvention::year_fraction(
+            &day_count,
+            settlement,
+            self.maturity,
+        );
+
+        let clean_price = self.face_value / (1.0 + ytm).powf(years_to_maturity);
+        let accrued = self.accrued_interest(settlement, day_count);
+        let dirty_price = clean_price;
+
+        Ok(PriceResult::new(clean_price, dirty_price, accrued))
+    }
+
+    fn accrued_interest(&self, _settlement: NaiveDate, _day_count: DayCount) -> f64 {
+        // Zero coupon bonds have no accrued interest
+        0.0
+    }
+}
diff --git a/src/fixed_income/day_count.rs b/src/fixed_income/day_count.rs
@@ -1,3 +1,11 @@
+/// Implementations of various day count conventions for fixed income calculations.
+///
+/// References:
+/// - https://www.isda.org/2011/01/07/act-act-icma
+/// - https://www.isda.org/a/NIJEE/ICMA-Rule-Book-Rule-251-reproduced-by-permission-of-ICMA.pdf
+/// - https://quant.stackexchange.com/questions/71858
+/// - https://www.investopedia.com/terms/d/daycountconvention.asp
+/// - https://en.wikipedia.org/wiki/Day_count_convention
 use crate::fixed_income::{DayCount, DayCountConvention};
 use chrono::{Datelike, NaiveDate};
 
@@ -8,17 +16,15 @@ impl DayCountConvention for DayCount {
         match self {
             DayCount::Act365F => days / 365.0,
             DayCount::Act360 => days / 360.0,
-            DayCount::Act365 => days / 365.0,
+            DayCount::Act365 => {
+                let is_leap = chrono::NaiveDate::from_ymd_opt(start.year(), 2, 29).is_some();
+                let year_days = if is_leap { 366.0 } else { 365.0 };
+                days / year_days
+            }
             DayCount::Thirty360US => days / 360.0,
             DayCount::Thirty360E => days / 360.0,
-            DayCount::ActActISDA => {
-                // More complex calculation for actual/actual ISDA
-                self.act_act_isda_year_fraction(start, end)
-            }
-            DayCount::ActActICMA => {
-                // ICMA method - requires coupon frequency
-                days / 365.0 // TODO: Simplified
-            }
+            DayCount::ActActISDA => self.act_act_isda_year_fraction(start, end),
+            DayCount::ActActICMA => self.act_act_icma_year_fraction(start, end),
         }
     }
 
@@ -84,4 +90,9 @@ impl DayCount {
 
         days / year_days
     }
+
+    fn act_act_icma_year_fraction(&self, start: NaiveDate, end: NaiveDate) -> f64 {
+        // TODO: Implement proper ACT/ACT ICMA calculation based on coupon periods
+        0.0
+    }
 }
diff --git a/src/fixed_income/types.rs b/src/fixed_income/types.rs
@@ -7,16 +7,16 @@
 pub enum DayCount {
     /// Actual/365 Fixed - 365 days per year
     Act365F,
-    /// 30/360 US (Bond Basis) - 30 days per month, 360 days per year
-    Thirty360US,
-    /// Actual/Actual ISDA - actual days, actual year length
-    ActActISDA,
+    /// Actual/365 - actual days, 365 days per year (no leap year adjustment)
+    Act365,
     /// Actual/360 - actual days, 360 days per year
     Act360,
+    /// 30/360 US (Bond Basis) - 30 days per month, 360 days per year
+    Thirty360US,
     /// 30/360 European - European version of 30/360
     Thirty360E,
-    /// Actual/365 - actual days, 365 days per year (no leap year adjustment)
-    Act365,
+    /// Actual/Actual ISDA - actual days, actual year length
+    ActActISDA,
     /// Actual/Actual ICMA - used for bonds
     ActActICMA,
 }