Function compose_payoff 

pub(crate) fn compose_payoff<R: Scalar, E>(
    payoff: &RatePayoff,
    rate: R,
    gearing: f64,
    spread: f64,
    optionlet: impl Fn(f64, OptionKind) -> Result<R, E>,
) -> Result<R, E>

payoff on a coupon rate rate = g·X + s still to fix, whatever X observes: the payoff axis of the coupon layer, composed over any observation that prices an optionlet on itself. optionlet(k, kind) is the undiscounted option on X at k, in the coupon’s payment terms. Each option on the rate at K is one on X at (K − s)/g, times |g|, a negative gearing swapping calls for puts. A collar is r − caplet(cap) + floorlet(floor); a digital is its call spread (see Digital).

Errors

The optionlet’s own.