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.