Module extrapolation 

Extrapolation methods for yield curves.

This module provides extrapolation algorithms for extending curves beyond their last observed data point:

• FlatExtrapolator: Constant extension from last point
• LinearExtrapolator: Linear slope continuation
• SmithWilson: Regulatory standard (EIOPA) with Ultimate Forward Rate

Choosing an Extrapolation Method

Method	Use Case	Properties
Flat	Simple, conservative	Constant forward rate
Linear	Trend continuation	May go negative
Smith-Wilson	Regulatory (Solvency II)	Converges to UFR

Regulatory Context

For European insurance regulation (Solvency II), SmithWilson is required. It ensures smooth convergence to the Ultimate Forward Rate (UFR) beyond the Last Liquid Point (LLP), typically 20 years for EUR.

Example

use convex_math::extrapolation::{SmithWilson, Extrapolator};

// Create Smith-Wilson extrapolator for EUR (EIOPA parameters)
let sw = SmithWilson::eiopa_eur();

// Extrapolate from a 20Y rate to 60Y
let rate_20y = 0.035;
let rate_60y = sw.extrapolate(60.0, 20.0, rate_20y, 0.001);

Structs

FlatExtrapolator

Flat extrapolation - constant value from the last point.

LinearExtrapolator

Linear extrapolation - continues with the last known slope.

SmithWilson

Smith-Wilson extrapolation for regulatory yield curves.

Enums

ExtrapolationMethod

Configuration for extrapolation beyond curve boundaries.

Traits

Extrapolator

Trait for extrapolation methods.