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reference_index

Function reference_index 

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

The street reference index at date.

Distinct from the pricing observation on purpose. The pricing path reads I(lagged(t)) and scales the flow by it; this reads the market’s own reference series, which for most linkers advances daily inside the month even though the underlying index is published monthly.

§Errors

CurveError from the curve queries.