Skip to main content

ibor_swap

Function ibor_swap 

pub(crate) fn ibor_swap(
    name: &str,
    index_code: &str,
    calendar_center: &str,
    fixed_day_count: DayCountFraction,
    fixed_frequency: Frequency,
    float_frequency: Frequency,
    business_day_convention: BusinessDayConvention,
    roll: RollConvention,
    spot_lag_days: i32,
    payment_lag_days: i32,
    end_of_month: bool,
) -> SwapTemplate
Expand description

Builder for a vanilla IBOR swap template. name doubles as the registry code.