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calibrate_double_exp

Function calibrate_double_exp 

Source
pub fn calibrate_double_exp(
    s: f64,
    r: f64,
    q: f64,
    quotes: &[HestonQuote],
    start: &BatesDoubleExpParams,
) -> BatesDoubleExpFit
Expand description

Calibrate all nine double-exponential Bates parameters to European vanilla quotes.