Function window_rung
pub fn window_rung(
code: &str,
template: &AnyTemplate,
start: NaiveDate,
end: NaiveDate,
rate: f64,
notional: f64,
) -> Result<Rung, RungBuildError>Expand description
The par rung of a one-period forward swap over [start, end] on an OIS
template — the IMM-dated forward a vendor sheet quotes as SEP27 - DEC27,
or any forward-starting window — built as the meeting-dated swap is, with
the template’s payment lag, noded at the window end, labelled
<start>..<end>, carrying no knot. A window on a meeting template is
meeting_rung.
§Errors
RungBuildError::NotFamily for a template of another family;
RungBuildError::Build for a window that does not run forward.