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read_return_swap

Function read_return_swap 

pub(crate) fn read_return_swap<'a, 'd>(
    swap: El<'a, 'd>,
    ctx: &Context<'_>,
) -> Result<Read<'a, 'd>, FpmlError>
Expand description

Reads a returnSwap on equities: the total return on its shares against its interest leg’s funding.

helixio’s equity total return swap pays every share’s full dividend, in one currency, and funds each period at its index’s fixing at the period’s start, or at a fixed rate. A return leg with a dividend payout ratio other than one, a commission, an FX feature, or a bond or index underlyer, and an interest leg on an overnight rate (which compounds rather than fixes) are refused by name. Its periods are the stated interim payment dates and the final one; a schedule stated relative to valuation dates is refused.