Function swap
pub(crate) fn swap(
template: &Bound<'_, PyAny>,
valuation: NaiveDate,
locator: &Bound<'_, PyAny>,
rate: f64,
notional: f64,
) -> PyResult<PyRung>Expand description
A swap rung on an OIS or IRS template: at a tenor, the template’s par
swap from spot, noded at its final payment — one rung of par_rungs; over
a window — (start, end) as dates or contract codes, or the string
spellings "2027-09-15 - 2027-12-15" and "SEP27 - DEC27" — the one-period
forward swap over it on an OIS template, noded at the window end with no
meeting identity. On an NDS template, at a tenor, the template’s NDS at
that par rate, marking its index’s projection against the held settlement
and offshore discounts.