Function cms_coupon_rate
pub fn cms_coupon_rate<R: Scalar>(
index: &SwapIndex,
fixing: NaiveDate,
payment: NaiveDate,
mean_reversion: f64,
gearing: f64,
spread: f64,
payoff: Option<&RatePayoff>,
view: &PricingView<'_, R>,
) -> Result<R, PricingError>Expand description
What one CMS coupon on index still to fix pays, as a rate: g·CMS + s
with the CMS rate fixing on fixing and paid on payment, and payoff
on it when there is one — composed over cms_option by the payoff axis
every floating coupon shares, so a collar caps and floors the rate and a
digital is its call spread.
§Errors
As cms_rate, or the cashflow error naming a payoff that is not one.