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calibrate_jointly

Function calibrate_jointly 

pub(crate) fn calibrate_jointly(
    py: Python<'_>,
    reference: NaiveDate,
    curves: Vec<(RolesArg, Vec<PyRungInput>)>,
    market: Option<&PyMarket>,
    interpolation: InterpolationArg,
    tension: Option<f64>,
    end_slopes: Option<(f64, f64)>,
    tolerance: Option<&PyTolerance>,
) -> PyResult<PyJointCalibration>
Expand description

Solves several curves together: curves are (roles, rungs) pairs, a role spelled as a risk row spells a curve ("discount(EUR)", "projection(EUR-EURIBOR-3M)") — one, or a list for a curve pinned under several (a self-discounting overnight curve is both) — and the rungs as calibrate takes them. Returns a JointCalibration holding each solved curve under its role, in the order given — the answer the sequential solve gives where the ladders can be ordered, and one where they cannot (a discount curve quoted only through basis swaps).