Function calibrate_base_correlation 

pub(crate) fn calibrate_base_correlation(
    py: Python<'_>,
    discount: &PyDiscountCurve,
    survival: &PySurvivalCurve,
    tranches: Vec<PyInstrument>,
    recovery: Option<f64>,
    tolerance: Option<&PyTolerance>,
) -> PyResult<PyCalibratedBaseCorrelation>

Calibrates a base-correlation curve from a contiguous capital structure of cdo_tranche(...) instruments, each carrying its own quote, on the index’s discount and survival curves. recovery is the index’s market recovery; a tranche that fixes its own needs none.