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multi_reset_coupon

Function multi_reset_coupon 

pub(crate) fn multi_reset_coupon(
    currency: &str,
    accrual_start: NaiveDate,
    accrual_end: NaiveDate,
    payment_date: NaiveDate,
    notional: f64,
    index: &str,
    day_count: Named<DayCountFraction>,
    reset_tenor: &str,
    compounding: Named<ResetCompounding>,
    gearing: f64,
    spread: f64,
    stub: StubArg,
) -> PyResult<PyAnyCoupon>
Expand description

A multi-reset coupon: index resets every reset_tenor over the accrual and the resets combine into one payment under compounding — "straight", "flat", "spread_exclusive" (the ISDA 2006 methods) or "averaged".

A final sub-period the reset tenor leaves short reads the index as stub says: "index_tenor" (its full Designated Maturity), "own_accrual" (projected over the sub-period itself), or a (shorter, longer) pair of registered term indices blended by ISDA 2006 §8.3 Linear Interpolation.