Function accumulated_fixed_leg
pub fn accumulated_fixed_leg(
currency: Currency,
effective: NaiveDate,
maturity: NaiveDate,
notional: f64,
fixed_rate: f64,
day_count: DayCountFraction,
compounding: AccrualCompounding,
direction: Direction,
) -> LegExpand description
The fixed side of a zero-coupon swap: one coupon carrying fixed_rate
over [effective, maturity], accruing under compounding into a single
payment at maturity.
A leg of one coupon rather than a bare coupon, because what makes it zero-coupon is the accumulation, and that is a property of the leg — the same rule the floating side follows with a strip rather than a single period.