Function forward_and_annuity
fn forward_and_annuity<R: Scalar>(
underlying: &SwaptionUnderlying,
view: &PricingView<'_, R>,
product: &'static str,
) -> Result<(R, R), PricingError>Expand description
The underlying’s forward swap rate and its fixed-leg annuity
Σ τ_i·N·P(t, T_i) — the two curve quantities the option formula needs,
both read off the swap’s own legs. The annuity is reported positive
whichever side pays fixed: the option formula supplies the sign.
§Errors
PricingError::DegenerateAnnuity when no fixed coupon survives the
as-of filter.