Skip to main content

non_deliverable_par_rate

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.