Function fra_rung
pub fn fra_rung(
code: &str,
template: &AnyTemplate,
valuation: NaiveDate,
start: Period,
rate: f64,
notional: f64,
) -> Result<Rung, RungBuildError>Expand description
The par rung of a forward-rate agreement on a FRA template value: the
accrual starts start after the index’s spot date and runs one index
period, fixing on the index’s lag, quoted at rate. Noded at the accrual
end and labelled <start>x<end> in months (3x6) where both are whole
months, else by its start tenor.
§Errors
RungBuildError::NotFamily for a template of another family.