Function accrual_proportional_kernel 

pub fn accrual_proportional_kernel<R: Scalar>(
    lead: f64,
    h: R,
    df_a: R,
    s_a: R,
    r: R,
    delta: f64,
) -> R

The proportional accrual-on-default kernel over one interval [a, b] of length delta years that starts lead years into the coupon’s accrual: ∫ₐᵇ (lead + (t − a)) · DF(t) · (−dS(t)) under a flat hazard h and a flat forward r on the interval, in closed form h·DF(a)·S(a)·[lead·(1 − e^{−kδ})/k + (1 − e^{−kδ}(1 + kδ))/k²] with k = r + h, by its series where kδ is small. Divided by the coupon’s whole accrual, it is the fraction of the coupon accrued to the default, weighted and discounted — what a contingent coupon settles under AccrualOnDefault::Proportional.