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calibrate_smoothed

Function calibrate_smoothed 

pub(crate) fn calibrate_smoothed(
    py: Python<'_>,
    reference: NaiveDate,
    rungs: Vec<PyRungInput>,
    smoothness: f64,
    discount: Option<&PyDiscountCurve>,
    market: Option<&PyMarket>,
    interpolation: InterpolationArg,
    tension: Option<f64>,
    end_slopes: Option<(f64, f64)>,
    tolerance: Option<&PyTolerance>,
) -> PyResult<PySmoothedCalibration>
Expand description

Fits a log-linear curve to (pillar, instrument, quote) rungs globally, minimising the quote residuals plus smoothness times the squared jumps in the segment forward; self-discounting, or projecting over discount.