Function range_accrual_coupon 

pub(crate) fn range_accrual_coupon(
    currency: &str,
    accrual_start: NaiveDate,
    accrual_end: NaiveDate,
    payment_date: NaiveDate,
    notional: f64,
    fixed_rate: f64,
    day_count: Named<DayCountFraction>,
    index: &str,
    lower: Option<f64>,
    upper: Option<f64>,
    gap: f64,
) -> PyResult<PyAnyCoupon>

One range accrual: notional × fixed_rate × accrual fraction × (days in range) / (days), every calendar day from accrual_start to accrual_end observing the fixing of index (a registered term index) on the latest business day on or before it, in range when it lies in [lower, upper] (a bound left None is open).

A day still to fix is in range with the probability two digitals give, each a call spread gap wide off the currency’s cap vol surface, which a leg holding the coupon declares; a fixed day reads its print.