Function accumulated_float_leg 

pub(crate) fn accumulated_float_leg(
    coupons: Vec<PyAnyCoupon>,
    pays: NaiveDate,
    direction: Named<Direction>,
    discount: &str,
) -> PyResult<PyLeg>

The floating side of a zero-coupon swap: coupons’ rates compounding period by period into a single payment at pays.

The coupons are ordinary ones — the same an IBOR leg carries. What makes the side zero-coupon is that they accumulate rather than each paying on its own date, which is why the same strip can be built either way and is worth different money.