Function calibrate_survival 

pub fn calibrate_survival(
    reference: NaiveDate,
    discount: &Curve,
    rungs: &[Rung],
    recovery: Option<f64>,
    fixings: &FixingStore,
    fx: &FxRates,
    tolerance: Tolerance,
    day_count: DayCountFraction,
) -> Result<CalibratedSurvival, CalibrationError>

Calibrates an ISDA survival curve to a ladder of credit default swaps, discounted on a curve already known.

The pillar date is the contract’s maturity, and it is the caller’s. The ISDA curve holds one constant hazard per segment, right-closed at its pillar and extending past the last, so a contract protecting to pillar j reads no hazard beyond j and the ladder is triangular: no sweeps, one pass.

Two quote shapes, no new rung kind. A spread-quoted contract is a Rung::par built at its running spread with no upfront: the residual is its value, and the quote is verified against its fair spread, which at zero value is the coupon exactly because the risky annuity carries accrual on default. An upfront-quoted contract is a Rung::priced on the contract without its upfront, the upfront as the quote and the notional as the money per unit quote, so the residual is the buyer’s value less what the buyer would pay — the rung is stated on the protection buyer’s side.

recovery is the entity’s market recovery. A contract that fixes its own uses that; one that needs the market’s and finds None fails through its own error, naming what is missing, rather than solving on a default.

Each pillar is solved by the same damped Newton step a rate ladder uses — newton_on_pillar is one body — seeded on the segment hazard. The first pillar starts from the credit triangle, spread / (1 − recovery); each later one from the hazard just solved. The discount curve is lifted passive, so the step is exactly the residual’s sensitivity through the survival path, and a rung the pillar cannot move reports CalibrationError::Insensitive.

Errors

CalibrationError if the ladder is malformed, a pillar does not converge, a pillar has no effect on its own instrument, a pillar solves to a negative hazard, or a valuation fails.