Function forecast_of 

pub(crate) fn forecast_of(
    market: &MarketContext,
    index: &str,
    date: NaiveDate,
) -> Result<f64, PnlError>

The rate the coupon applied to date while the print was projected: the index’s own window, simple on its day count, off market’s projection curve for that index — not the curve’s continuously compounded forward. A curve reaches no date before its reference, and a print that needs attributing is usually dated before it; for such a date the forecast is the index’s forecast at the reference date, the front of the curve read flat backward, which is the rate the curve projects an unprinted day at.