Function strip_ladder
fn strip_ladder(
quotes: &[CapQuote],
strike: Option<f64>,
scheme: StripScheme,
convention: VolConvention,
build: &dyn Fn(NaiveDate) -> Result<InterestRateCapFloor, PricingError>,
longest: &InterestRateCapFloor,
resolved: &PricingView<'_, f64>,
tolerance: SolveTolerance,
) -> Result<(Vec<f64>, Vec<f64>), PricingError>Expand description
One strike’s caplet ladder: the expiry nodes still to fix and the vol at each, under the named scheme.