Function calibrate
pub(crate) fn calibrate(
py: Python<'_>,
reference: NaiveDate,
rungs: Vec<PyRungInput>,
market: Option<&PyMarket>,
discount: Option<&PyDiscountCurve>,
interpolation: InterpolationArg,
tension: Option<f64>,
end_slopes: Option<(f64, f64)>,
tolerance: Option<&PyTolerance>,
) -> PyResult<PyCalibration>Expand description
Calibrates a self-discounting curve from (pillar_date, instrument) rungs
quoted at par, reading fixings and FX from market when given.