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calibrate

rustyqlib::equity::bates

Function calibrate 

Source 
pub fn calibrate(
    s: f64,
    r: f64,
    q: f64,
    quotes: &[HestonQuote],
    start: &BatesParams,
) -> BatesFit
Expand description

Calibrate all eight Bates parameters to European vanilla quotes — the same Levenberg-Marquardt-in-transform-space pattern as heston::calibrate. Short-dated quotes are what identify the jump parameters against the diffusion.