Skip to main content

turn

Function turn 

pub(crate) fn turn(
    template: &Bound<'_, PyAny>,
    start: NaiveDate,
    end: NaiveDate,
    segment_rate: f64,
    notional: f64,
) -> PyResult<PyRung>
Expand description

A turn rung: the window [start, end] on a meeting-OIS template quoted at segment_rate, the simple forward over the window — the surrounding level plus the jump, as a desk states a year-end turn — noded at end and carrying the turn as its pillar’s identity; labelled turn <start>. A turn is a window: the ladder needs a pillar at start too, which a meeting rung ending there supplies.