Function nds_rung
pub fn nds_rung(
code: &str,
template: &AnyTemplate,
valuation: NaiveDate,
tenor: Period,
par_rate: f64,
notional: f64,
) -> Result<Rung, RungBuildError>Expand description
The par rung of an NDS on an NDS template value: the swap
AnyTemplate::nds drafts at par_rate, receiving fixed, noded at its
last payment. It discounts in the settlement currency and reads the local
currency’s curve under that collateral for its conversions, so it solves
discount(<ref>-CSA-<settle>) past the forward market’s reach, against
the floating index’s projection the market already holds.
§Errors
RungBuildError::NotFamily for a template of another family;
RungBuildError::Build where the swap does not draft.