Struct SmithWilson 

pub struct SmithWilson {
    pub ultimate_forward_rate: f64,
    pub convergence_speed: f64,
    pub last_liquid_point: f64,
}

Smith-Wilson extrapolation for regulatory yield curves.

The Smith-Wilson method is the regulatory standard for extrapolating risk-free rate curves under Solvency II (EIOPA). It ensures smooth convergence from the Last Liquid Point (LLP) to the Ultimate Forward Rate (UFR) at long maturities.

EIOPA Standard Parameters

Currency	UFR	LLP	Alpha
EUR	3.45%	20Y	0.126
GBP	3.45%	50Y	0.100
USD	3.45%	30Y	0.100
CHF	3.45%	25Y	0.100

Note: UFR values are updated annually by EIOPA. Values shown are as of 2024.

Properties

• Regulatory compliant: Matches EIOPA specification
• Smooth convergence: C∞ continuity
• UFR target: Converges to Ultimate Forward Rate
• Speed control: Alpha parameter controls convergence speed

Convergence Behavior

The forward rate converges to UFR according to:

• At LLP: forward rate equals observed market rate
• At LLP + 40Y: forward rate within 3bp of UFR (EIOPA convergence criterion)
• At infinity: forward rate equals UFR exactly

Example

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

// EUR parameters (EIOPA 2024)
let sw = SmithWilson::new(0.0345, 0.126, 20.0);

// Extrapolate from 20Y (LLP) to 60Y
let rate_60y = sw.extrapolate(60.0, 20.0, 0.03, 0.001);

// The rate should be moving towards UFR (3.45%)
assert!(rate_60y > 0.03); // Moving up towards UFR

Fields

ultimate_forward_rate: f64

Ultimate Forward Rate (continuously compounded)

convergence_speed: f64

Convergence speed parameter (alpha)

last_liquid_point: f64

Last Liquid Point (years)

Implementations

impl SmithWilson

pub fn new(ufr: f64, alpha: f64, llp: f64) -> Self

Creates a new Smith-Wilson extrapolator.

Arguments

• ufr - Ultimate Forward Rate (e.g., 0.0345 for 3.45%)
• alpha - Convergence speed (higher = faster convergence)
• llp - Last Liquid Point in years

Panics

Panics if alpha <= 0 or llp <= 0.

pub fn eiopa_eur() -> Self

Creates a Smith-Wilson extrapolator with EIOPA EUR parameters.

Uses standard EIOPA parameters for EUR curves:

• UFR: 3.45% (2024 value)
• Alpha: 0.126
• LLP: 20 years

pub fn eiopa_gbp() -> Self

Creates a Smith-Wilson extrapolator with EIOPA GBP parameters.

Uses standard EIOPA parameters for GBP curves:

• UFR: 3.45% (2024 value)
• Alpha: 0.100
• LLP: 50 years

pub fn eiopa_usd() -> Self

Creates a Smith-Wilson extrapolator with EIOPA USD parameters.

Uses standard EIOPA parameters for USD curves:

• UFR: 3.45% (2024 value)
• Alpha: 0.100
• LLP: 30 years

pub fn eiopa_chf() -> Self

Creates a Smith-Wilson extrapolator with EIOPA CHF parameters.

Uses standard EIOPA parameters for CHF curves:

• UFR: 3.45% (2024 value)
• Alpha: 0.100
• LLP: 25 years

pub fn ufr(&self) -> f64

Returns the UFR.

pub fn alpha(&self) -> f64

Returns the convergence speed (alpha).

pub fn llp(&self) -> f64

Returns the Last Liquid Point.

Trait Implementations

impl Clone for SmithWilson

fn clone(&self) -> SmithWilson

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for SmithWilson

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

Formats the value using the given formatter.

impl Extrapolator for SmithWilson

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 PartialEq for SmithWilson

fn eq(&self, other: &SmithWilson) -> bool

Tests for self and other values to be equal, and is used by ==.

fn ne(&self, other: &Rhs) -> bool

Tests for !=. The default implementation is almost always sufficient, and should not be overridden without very good reason.

impl Copy for SmithWilson

impl StructuralPartialEq for SmithWilson