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swap

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.