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accumulated_fixed_leg_by_period

Function accumulated_fixed_leg_by_period 

pub fn accumulated_fixed_leg_by_period(
    currency: Currency,
    effective: NaiveDate,
    maturity: NaiveDate,
    frequency: Period,
    notional: f64,
    fixed_rate: f64,
    day_count: DayCountFraction,
    compounding: AccrualCompounding,
    direction: Direction,
) -> Result<Leg, ScheduleError>
Expand description

accumulated_fixed_leg with its accrual measured period by period: the day count’s year fraction over each unadjusted frequency period from effective to maturity, summed. On 1/1 that counts one per sub-period — FpML’s 1/1 per calculation period — so an annual five-year leg compounds (1 + K)^5 where the one-accrual reading compounds (1 + K)^1.

§Errors

ScheduleError when maturity is not after effective.