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fit_bond_curve

Function fit_bond_curve 

pub fn fit_bond_curve(
    reference: NaiveDate,
    quotes: &[(FixedRateBond, f64)],
    form: FittedForm,
    weights: FitWeights,
) -> Result<FittedBondCurve, FitError>
Expand description

Fit a parametric discount curve to quotes — (bond, clean price) pairs — as of reference.

A smoother: it will not reprice its inputs, and the rows it returns say by how much it misses. Reach for calibrate when exactness matters.

§Errors

FitError for an underdetermined universe, a solve that did not converge, a curve or yield query that failed, or — for the exponential-splines form only — a fitted curve that is not a discount curve across the horizon.