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window_rung

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.