Function caplet_times 

fn caplet_times(
    coupon: &AnyCoupon,
    as_of: NaiveDate,
    day_count: DayCountFraction,
) -> (NaiveDate, f64, f64)

The expiry a caplet is keyed on and the time its variance accrues over.

A term coupon fixes at the start and both are the year fraction to that fixing. A compounded overnight coupon is not known until its last fixing, so it is keyed there, and its variance accrues over S + (E − S)/3 on its first and last fixing dates — the standard effective variance of a backward-looking rate (see OvernightCoupon::option_times). A period already in progress floors S at zero. A term coupon’s time is counted on day_count, the surface’s own.