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tenor_basis_rung

Function tenor_basis_rung 

pub fn tenor_basis_rung(
    code: &str,
    template: &AnyTemplate,
    valuation: NaiveDate,
    tenor: Period,
    spread: f64,
    notional: f64,
) -> Result<Rung, RungBuildError>
Expand description

The spread rung of a tenor basis swap on a tenor-basis template value: the swap from spot — the term leg’s fixing lag where a leg is a term index, two business days otherwise — to tenor on, carrying spread on its spread leg, noded at its final payment and labelled by tenor.

§Errors

RungBuildError::NotFamily for a template of another family.