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calibrate_piecewise

Function calibrate_piecewise 

fn calibrate_piecewise(
    market: &MarketContext,
    currency: Currency,
    collateral: &CollateralSpec,
    strip: &[StripPoint],
    mean_reversion: f64,
) -> Result<CalibratedSigma, CalibrationError>
Expand description

The piecewise shape: one piece per strip expiry, solved in expiry order so each point fixes exactly its own piece and reprices.