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accumulated_fixed_leg

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,
) -> Leg
Expand 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.