Discount Curve Fitter

Calibration of the discount curve from index option prices, e.g. SPX or SX5E.
Combine market data from multiple indexes and times to calibrate a stable discount curve with error bars.
Fit implied discount rates to parametric term-structure to allow robust calibration (even from one market snapshot).
Handles a variety of term-structure shapes, including inverted yield curves (e.g. via Nelson-Siegel).