Function non_deliverable_par_rate
fn non_deliverable_par_rate<R: Scalar>(
fixed: &Leg,
floating_value: R,
view: &PricingView<'_, R>,
currency: Currency,
product: &'static str,
) -> Result<R, PricingError>Expand description
The fixed rate that values a non-deliverable swap at zero, given its
floating leg’s converted value: off the fixed leg’s converted annuity for a
leg paying per coupon, and in closed form — (1 + A/N)^(1/τ) − 1 — for one
accruing a compounded rate into a single payment, as BRL’s does.