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hub / github.com/MarcusRainbow/QuantMath / log_discount_with_borrow

Function log_discount_with_borrow

src/data/forward.rs:177–183  ·  view source on GitHub ↗

Precalculate the fixed offset to be passed into discount_with_borrow. Actually returns rt - qt where t is the time from the base date of the discount curve to the base date of the forward.

(rate: &RateCurve, borrow: &RateCurve, 
    date: Date)

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Callers 4

newMethod · 0.85
forwardMethod · 0.85
newMethod · 0.85
discount_with_borrowFunction · 0.85

Calls 1

rtMethod · 0.80

Tested by

no test coverage detected