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calculation_parameters

helixrs::fpml::swap

Function calculation_parameters 

fn calculation_parameters(
    params: El<'_, '_>,
    n: usize,
    index: &OvernightIndex,
) -> Result<(AccrualCompounding, ObservationConventions, Arc<dyn Calendar>), FpmlError>
Expand description

Reads calculationParameters: how an overnight rate accumulates, on which business days, and the lookback, lockout or observation shift and daily bounds it observes under.

An offset with no offsetDays is refused: the 5.14 schema defers it to the 2021 ISDA Definitions, “typically 5”, which is not a value to guess.