Skip to main content

ibor_leg

Function ibor_leg 

fn ibor_leg(
    currency: &str,
    index_code: &str,
    day_count: DayCountFraction,
    calendar_center: &str,
    fixing_lag_days: i32,
    pay_delay_days: i32,
) -> XccyLegTemplate
Expand description

Term-IBOR-projected cross-currency leg: Quarterly, EOM, Backward, In-Advance. fixing_lag / pay_delay vary per screen.