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accumulated_fixed_leg

Function accumulated_fixed_leg 

pub(crate) fn accumulated_fixed_leg(
    currency: &str,
    effective: NaiveDate,
    maturity: NaiveDate,
    notional: f64,
    fixed_rate: f64,
    day_count: Named<DayCountFraction>,
    accrual_compounding: Named<AccrualCompounding>,
    direction: Named<Direction>,
    discount: &str,
    frequency: Option<Named<Period>>,
) -> PyResult<PyLeg>
Expand description

The fixed side of a zero-coupon swap: one coupon carrying fixed_rate over [effective, maturity], accruing under accrual_compounding into a single payment at maturity.

It is a leg of one coupon because what makes it zero-coupon is how the leg accumulates, not what the coupon is. accrual_compounding is the core’s own vocabulary: "Compounded" gives (1 + K)^τ, "Simple" gives 1 + K·τ, and the two are different money. With frequency, τ is measured period by period on that frequency and summed, so "1/1" counts one per sub-period (FpML’s 1/1 per calculation period).