Function helper_group_of
fn helper_group_of(
rung: &Rung,
) -> Result<(Vec<CurveId>, HelperForm), CalibrationError>Expand description
Which curve rung solves, and how, read off the roles its instrument
declares and the family of the index it projects.
The rule is the one the par-curve verb applies to a template, applied to an instrument: an overnight index’s rung pins the discount and the projection as one curve; a term index’s rung pins its projection over the held discount; a rung projecting nothing pins the discount; a rung projecting a second index is a tenor basis and pins the first over the held second; a rung with a foreign discount is a cross-currency basis and pins that collateral discount.