Function meeting_overnight_swap
pub fn meeting_overnight_swap(
code: &str,
template: &AnyTemplate,
valuation: NaiveDate,
locator: MeetingLocator,
rate: f64,
notional: f64,
schedule: Option<&MeetingSchedule>,
) -> Result<OvernightIndexedSwap, RungBuildError>Expand description
A meeting-dated overnight swap: one fixed coupon on the template’s fixed
day count against one compounded overnight coupon over the window
locator resolves to, both paid the template’s payment lag after the
window end (two business days for USD, as its OIS pays). It is an
OvernightIndexedSwap — the product the family already prices, quotes
and risks — over a single meeting-to-meeting period.
§Errors
RungBuildError::NotFamily for a template of another family; the
window’s own refusals as meeting_window.