Function swap_from_legs 

pub fn swap_from_legs(
    fixed: Leg,
    floating: Leg,
    collateral: CollateralSpec,
) -> Result<AnyInstrument, SwapLegsError>

A fixed-versus-floating swap from two compiled legs.

The constructor for a swap no template generates — an amortising or accreting notional, a stepped fixed rate, a spread or gearing that changes by period — built coupon by coupon and then booked as one trade: a fixed leg and an IBOR leg with a nominal, rate, gearing and spread per period.

The currency and the projection index are read off the coupons, never restated, so a leg cannot be labelled with an index it does not reset on. Floating coupons on a term index make a VanillaSwap; overnight coupons make an OvernightIndexedSwap. Either leg may carry Redemption coupons — notional exchanges, which name no index.

The result’s par rate is the one flat fixed rate that values it at zero over the fixed coupons’ own notionals and accruals — for a stepped leg, the level rate, not a shift — the rate an amortising swap is quoted at.

Errors

SwapLegsError for an empty or accumulating leg, a coupon on the wrong leg, a floating leg with no index or two, legs in two currencies, or legs on the same side.