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cms_model

Function cms_model 

fn cms_model<'v, 'x, R: Scalar>(
    index: &SwapIndex,
    fixing: NaiveDate,
    payment: NaiveDate,
    mean_reversion: f64,
    view: &'v PricingView<'x, R>,
) -> Result<CmsModel<'v, 'x, R>, PricingError>
Expand description

The linear TSR model a CMS payment on index fixing on fixing and paid on payment is valued under, at mean reversion mean_reversion.

ยงErrors

As cms_rate.