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settlement_fixing

Function settlement_fixing 

fn settlement_fixing<R: Scalar>(
    forward: &FxForward,
    view: &PricingView<'_, R>,
    spot: R,
    df_base: R,
    df_quote: R,
) -> Result<R, PricingError>
Expand description

The rate a cash-settled forward nets at, quote units per one base unit: the published fixing once its date has passed or it has printed today, else the parity forward spot · DF_base / DF_quote, which a physical forward always reads.