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g_spread

Function g_spread 

pub fn g_spread<C: YieldCurve<f64>>(
    bond: &FixedRateBond,
    government: &C,
    dirty: f64,
    settlement: NaiveDate,
    basis: YieldBasis,
) -> Result<f64, SpreadSolveError>
Expand description

G-spread: the bond’s yield over the government curve’s zero rate at its maturity.

spread_over_curve read against a sovereign benchmark. The verb exists so a caller states which market the spread is against; the arithmetic is shared with i_spread.

§Errors

As spread_over_curve.