Function cms_spread_option 

pub fn cms_spread_option<R: Scalar>(
    index: &SwapIndex,
    minus: &SwapIndex,
    fixing: NaiveDate,
    payment: NaiveDate,
    mean_reversion: f64,
    correlation: impl Into<CmsSpreadCorrelation>,
    strike: f64,
    kind: OptionKind,
    view: &PricingView<'_, R>,
) -> Result<R, PricingError>

An option on the spread of two CMS rates, S₁ − S₂, fixing on fixing and paid on payment, as a rate: a call pays (S₁ − S₂ − K)⁺, a put (K − S₁ + S₂)⁺, each rate lognormal.

Each rate is taken at its linear-TSR adjusted mean mᵢ, with the surface’s at-the-money vol at the fixing and its own tenor, and the two are joined by correlation — a contract number (an f64 converts), or the market’s mark for the pair, read in the mode from a view resolved with it declared. On a normal surface the spread is normal: Bachelier on m₁ − m₂ with standard deviation √(σ₁² + σ₂² − 2ρσ₁σ₂)·√T. On a lognormal surface, conditioning on the first rate leaves a Black put on the second, integrated over the first by sixteen-point Gauss–Hermite. The put follows by parity.

Errors

As cms_rate for either index, a lognormal surface on a non-positive adjusted rate, and PricingError::MissingCmsSpreadCorrelation for a market correlation the view does not hold.