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i_spread

Function i_spread 

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

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

spread_over_curve read against a swap curve — the same kernel as g_spread with a different reference market.

§Errors

As spread_over_curve.