Struct LinearExtrapolator 

pub struct LinearExtrapolator;

Linear extrapolation - continues with the last known slope.

This method extends the curve by continuing the linear trend from the last observed point using its derivative (slope).

Properties

• Simple: Uses only last point and slope
• Trend-following: Assumes the current trend continues
• Risk: May produce negative rates if slope is negative

Use Cases

• Short-term extrapolation where trend continuation is expected
• Preliminary analysis before applying more sophisticated methods

Warning

Linear extrapolation can produce unrealistic results (negative rates) for long maturities. For regulatory or production use, consider SmithWilson instead.

Example

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

let extrap = LinearExtrapolator;

// Last observed: 5% at 10 years with 0.1% slope per year
let rate = extrap.extrapolate(15.0, 10.0, 0.05, 0.001);
assert!((rate - 0.055).abs() < 1e-10);  // 5% + 0.1% * 5 = 5.5%

Implementations

impl LinearExtrapolator

pub fn new() -> Self

Creates a new linear extrapolator.

Trait Implementations

impl Clone for LinearExtrapolator

fn clone(&self) -> LinearExtrapolator

Returns a duplicate of the value.

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source.

impl Debug for LinearExtrapolator

fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter.

impl Default for LinearExtrapolator

fn default() -> LinearExtrapolator

Returns the “default value” for a type.

impl Extrapolator for LinearExtrapolator

fn extrapolate( &self, t: f64, last_t: f64, last_value: f64, last_derivative: f64, ) -> f64

Extrapolates to time t given the last known point.

fn name(&self) -> &'static str

Returns the name of the extrapolation method.

impl Copy for LinearExtrapolator