Struct FlatForward 

pub struct FlatForward { /* private fields */ }

Flat forward interpolation for zero rate curves.

Interpolates zero rates such that forward rates are constant (flat) between pillar points. This produces a step-function forward curve.

Example

use convex_math::interpolation::{FlatForward, Interpolator};

// Zero rates at 1Y, 2Y, 5Y, 10Y
let tenors = vec![1.0, 2.0, 5.0, 10.0];
let zero_rates = vec![0.02, 0.025, 0.03, 0.035];

let interp = FlatForward::new(tenors, zero_rates).unwrap();

// Interpolate at 3Y - forward rate is flat between 2Y and 5Y
let rate_3y = interp.interpolate(3.0).unwrap();

Implementations

impl FlatForward

pub fn new(tenors: Vec<f64>, zero_rates: Vec<f64>) -> MathResult<Self>

Creates a new flat forward interpolator from zero rates.

Arguments

• tenors - Time points in years (must be strictly increasing, > 0)
• zero_rates - Zero rates at each tenor (as decimals, e.g., 0.05 for 5%)

Errors

Returns an error if:

• Fewer than 2 points are provided
• Tenors and zero_rates have different lengths
• Tenors are not strictly increasing
• Any tenor is <= 0

pub fn with_origin(tenors: Vec<f64>, zero_rates: Vec<f64>) -> MathResult<Self>

Creates a flat forward interpolator with an initial point at t=0.

This variant allows interpolation from t=0 by assuming the first zero rate extends back to the origin.

Arguments

• tenors - Time points in years (must be strictly increasing, >= 0)
• zero_rates - Zero rates at each tenor

pub fn with_extrapolation(self) -> Self

Enables extrapolation beyond the data range.

When extrapolating:

• Below first tenor: uses first forward rate
• Above last tenor: uses last forward rate (flat forward extension)

pub fn forward_rate(&self, t: f64) -> MathResult<f64>

Returns the forward rate at tenor t.

Since forward rates are flat between pillars, this returns the constant forward rate for the segment containing t.

pub fn tenors(&self) -> &[f64]

Returns the tenors.

pub fn zero_rates(&self) -> &[f64]

Returns the zero rates.

pub fn forward_rates_vec(&self) -> &[f64]

Returns the pre-computed forward rates.

Trait Implementations

impl Clone for FlatForward

fn clone(&self) -> FlatForward

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for FlatForward

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

Formats the value using the given formatter.

impl Interpolator for FlatForward

fn interpolate(&self, t: f64) -> MathResult<f64>

Returns the interpolated value at x.

fn derivative(&self, t: f64) -> MathResult<f64>

Returns the first derivative at x.

fn allows_extrapolation(&self) -> bool

Returns true if extrapolation is allowed.

fn min_x(&self) -> f64

Returns the minimum x value in the data.

fn max_x(&self) -> f64

Returns the maximum x value in the data.

fn in_range(&self, x: f64) -> bool

Checks if x is within the interpolation range.