Struct WindowTerms 

struct WindowTerms<'a> {
    index: &'a OvernightIndex,
    fixed_day_count: DayCountFraction,
    calendar: Arc<dyn Calendar>,
    payment_lag_days: i32,
}

What a one-period window swap is built from, read off either overnight template: the meeting template and the plain OIS template differ in what they know about a window’s identity, not in how the swap over it is built.

Fields

index: &'a OvernightIndex

fixed_day_count: DayCountFraction

calendar: Arc<dyn Calendar>

payment_lag_days: i32

Implementations

impl<'a> WindowTerms<'a>

fn meeting(t: &'a MeetingOisTemplate) -> Self

fn ois(t: &'a OisTemplate) -> Self