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calibrate_hull_white

Function calibrate_hull_white 

pub fn calibrate_hull_white(
    market: &MarketContext,
    bond: &CallableBond,
    mean_reversion: f64,
    shape: SigmaShape,
) -> Result<CalibratedSigma, CalibrationError>
Expand description

Fits σ in shape to the strip bond implies, against market’s discount curve and its pinned normal-vol quotes, with mean_reversion exogenous.

The strip is strip_from_callable’s, and the fit is calibrate_hull_white_to_strip on it: a caller with a strip of their own — co-terminal or not — needs no callable bond to imply it.

§Errors

CalibrationError::EmptyStrip for a bond with nothing exercisable; otherwise as calibrate_hull_white_to_strip.