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australian_coupon_factor

Function australian_coupon_factor 

pub fn australian_coupon_factor<C: InflationCurve<f64> + ?Sized>(
    bond: &InflationLinkedBond,
    next_coupon: NaiveDate,
    fixings: &FixingsView<'_, f64>,
    curve: &C,
) -> Result<f64, CurveError>
Expand description

The AOFM p for the payment at next_coupon: half the percentage CPI movement over the two quarters ending two quarters before that payment’s quarter, p = round₂(50·(CPIₜ/CPIₜ₋₂ − 1)).

The quarterly CPI series is keyed at the first day of each quarter-end month, published fixings first.

§Errors

Curve errors from the CPI lookups.

§Panics

If the quarter-end date arithmetic overflows the calendar, which no bond’s dates do.