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strip_ladder

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.