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cms_coupon_rate

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.