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cms_leg

Function cms_leg 

pub fn cms_leg(
    schedule: &Schedule,
    terms: &LegTerms,
    index: &SwapIndex,
    gearing: f64,
    spread: f64,
    mean_reversion: f64,
) -> Leg
Expand description

A leg of CMS coupons over schedule on index, each period fixing in advance and paying on its end — the CMS leg of a CmsSwap as a leg of coupons. terms supplies the notional, the accrual day count, the side and the payment rule’s date.