Skip to main content

xccy_records

Function xccy_records 

fn xccy_records<R: Scalar>(
    swap: &CrossCurrencySwap,
    view: &PricingView<'_, R>,
) -> Result<Records, PricingError>
Expand description

A deliverable cross-currency swap’s flows: the pay leg’s rows (leg 0), then the receive leg’s (leg 1), each discounted and projected on its own side’s curves with its amounts in its own currency. Every pv is converted into the swap’s valuation currency at spot, as npv converts, and settlement_currency names it, so the column sums to npv.