Skip to main content

averaged_sum_by_day

Function averaged_sum_by_day 

fn averaged_sum_by_day<R: Scalar>(
    coupon: &OvernightCoupon,
    fwd: Option<&dyn YieldCurve<R>>,
    fixings: &FixingsView<'_, R>,
    as_of: NaiveDate,
) -> Result<R, CashflowError>
Expand description

averaged_sum for a coupon that does not telescope: each day’s rate is read on its own, bounded, and accrued over its weight.