Struct SmoothedCalibration 

pub struct SmoothedCalibration {
    pub curve: PiecewiseDiscount,
    pub residuals: Vec<f64>,
    pub roughness: f64,
    pub iterations: usize,
    pub smoothness: f64,
}

A discount curve fitted globally, trading repricing error for smoothness of the pillar log discount factors — and saying so: it carries no provenance, because it reprices no rung exactly.

Fields

curve: PiecewiseDiscount

The fitted curve, under the scheme the fit was asked for.

residuals: Vec<f64>

Each rung’s repriced quote less its declared quote, in the quote’s own units, in rung order.

roughness: f64

The sum of squared second divided differences of the log discount factor at the interior pillars — what the fit was asked to keep small. Under log-linear interpolation this is exactly the sum of squared jumps in the segment forward rate.

iterations: usize

Levenberg–Marquardt iterations that proposed an accepted step.

smoothness: f64

The smoothness the curve was fitted at.

Trait Implementations

impl Clone for SmoothedCalibration

fn clone(&self) -> SmoothedCalibration

Returns a duplicate of the value.

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source.

impl Debug for SmoothedCalibration

fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter.