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calibrate_sabr_with_atm

Function calibrate_sabr_with_atm 

pub(crate) fn calibrate_sabr_with_atm(
    py: Python<'_>,
    atm: &PyRateVolSurface,
    atm_forwards: Vec<Vec<f64>>,
    cube: &PyRateVolSurface,
    cube_forwards: Vec<Vec<f64>>,
    spec: &PySabrSpec,
) -> PyResult<PySabrFit>
Expand description

Fits SABR on a dense ATM matrix atm with a sparse smile cube: σ_ATM from the matrix at every node, ρ and ν fitted at the cube’s nodes and read onto the matrix’s. Every cube node must be a matrix node.