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act_act_icma

Function act_act_icma 

fn act_act_icma(start: NaiveDate, end: NaiveDate, context: PeriodContext) -> f64
Expand description

ACT/ACT.ICMA reference-period basis. Requires a PeriodContext::Scheduled — the accrual days divided by the coupon frequency times the days in the notional reference period that the accrual falls in. The reference period is recovered from the next coupon date (period_end) stepped back by one frequency tenor. Without a schedule context the two dates are their own reference period (act_act_icma_two_date).

Note: this implements the single-reference-period basis (regular periods and stubs within one reference period). A bond supplies its ICMA context per coupon period, and its multi-period time measure walks the schedule so on-schedule spans never need more than one reference period per call; a fixed-rate leg measures its short stubs against the schedule’s own tenor (cashflows::legs::period_accruals). Long stubs spanning multiple reference periods within a single accrual period remain a deferred refinement.