Function caplet_forwards 

pub fn caplet_forwards(
    market: &MarketContext,
    index: &IborIndex,
    effective: NaiveDate,
    termination: NaiveDate,
    first_caplet_excluded: bool,
) -> Result<(Vec<f64>, Vec<Vec<f64>>), PricingError>

The caplet expiries and forwards on market of the cap on index from effective to termination — the caplets strip_caplet_vols strips, filtered as its nodes are (one per caplet still to fix, a repeated expiry dropped), so the rows line up with the surface it strips. The forwards come one per row, the shape calibrate_sabr reads off a one-tenor cap surface.

Errors

PricingError::UnsupportedForProduct for a cap that cannot be built (or, excluding its first caplet, has none left); otherwise what resolving its curves refuses with.