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.