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eurex_periodic_factor

helixrs::instruments::bond_derivatives

Function eurex_periodic_factor 

fn eurex_periodic_factor(
    coupon: f64,
    (interest_start, first_coupon, maturity, delivery): (NaiveDate, NaiveDate, NaiveDate, NaiveDate),
    notional_coupon: f64,
    per_year: u32,
    paid_on: Option<&dyn Calendar>,
) -> f64
Expand description

The Eurex formula on per_year coupon periods, unrounded: each payment rolled following on paid_on, if given, and discounted the further fraction of a period it rolls.