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).