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meeting_overnight_swap

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.