Crate yield_curves 

Yield curve interpolation and parametric fitting for fixed income.

Zero-dependency library. All curves accept (t_years, rate) pairs and expose a uniform interface via YieldCurveInterpolator.

Methods

• LinearCurve — piecewise linear, transparent baseline.
• CubicSplineCurve — natural cubic spline (C² continuous), Thomas algorithm, no linear-algebra dependencies.
• PchipCurve — Fritsch-Carlson monotone cubic Hermite (C¹). Use when cubic spline produces overshoots or when monotonicity must be preserved.
• NelsonSiegelCurve — Nelson-Siegel (1987) 4-parameter parametric fit.
• SvenssonCurve — Nelson-Siegel-Svensson (1994) 6-parameter parametric fit (BCB/ANBIMA/ECB standard for sovereign yield curves).

Discount factors and forward rates

See the compounding module for free-standing helpers that turn interpolated rates into discount factors and implied forward rates under any of: continuous, periodic, or simple compounding.

Bond pricing

See the bond module for price, Macaulay/modified duration, convexity and par yield computed from a cash-flow schedule plus a YTM.

Dates, day counts, calendars, and schedules

The date, daycount, calendar, and schedule modules form a zero-dependency date toolkit for building a curve’s time axis: a proleptic Gregorian Date, ISDA day-count conventions (DayCount), holiday calendars (Calendar, Brazil, Target2) with business-day adjustment and the BUS/252 year fraction, and coupon/pillar Schedule generation.

Conventions

The x-axis is time in years. Convert from calendar/business days at the call site with the appropriate day count convention:

• Brazil (business-day 252): days / 252.0
• US Treasury (actual/365): days / 365.0
• ISDA actual/365.25: days / 365.25

Rates are in the same unit as the input (typically percent). The library performs no unit conversion.

Extrapolation

All curves extrapolate flat outside the observed range — the rate of the nearest observed anchor is returned. Parametric methods (NS, Svensson) in particular diverge quickly outside the fitted range, so flat extrapolation is a sane default for financial use.

Example

use yield_curves::{CubicSplineCurve, YieldCurveInterpolator};

// Brazilian nominal yield curve from LTNs/NTN-Fs (t in years, rate in %).
let points = [
    (1.0, 13.98),
    (2.5, 13.51),
    (4.0, 13.45),
    (7.0, 13.57),
    (10.0, 13.80),
];

let curve = CubicSplineCurve::fit(&points).unwrap();
let rate_5y = curve.rate_at(5.0);
assert!((13.4..=13.6).contains(&rate_5y));

Re-exports

pub use calendar::easter;

pub use calendar::Brazil;

pub use calendar::BusinessDayConvention;

pub use calendar::Calendar;

pub use calendar::JoinCalendar;

pub use calendar::JoinRule;

pub use calendar::Target2;

pub use calendar::WeekendsOnly;

pub use compounding::discount_factor;

pub use compounding::forward_rate;

pub use compounding::Compounding;

pub use date::Date;

pub use date::DateError;

pub use date::Period;

pub use date::Unit;

pub use date::Weekday;

pub use daycount::DayCount;

pub use linear::LinearCurve;

pub use nelson_siegel::NelsonSiegelCurve;

pub use pchip::PchipCurve;

pub use schedule::third_wednesday;

pub use schedule::DateGeneration;

pub use schedule::Schedule;

pub use schedule::ScheduleError;

pub use schedule::StubConvention;

pub use spline::CubicSplineCurve;

pub use svensson::SvenssonCurve;

Modules

bond

Bond pricing primitives — Tier 2 of the crate’s evolution (v0.3).

calendar

Holiday calendars, business-day adjustment, and BUS/252 — Phase 0.

compounding

Compounding conventions, discount factors, and forward rates.

date

Calendar dates, weekdays, and date periods — Phase 0 foundations.

daycount

Day-count conventions — year fractions between two Dates.

linear

Piecewise-linear interpolation with flat extrapolation.

nelson_siegel

Nelson-Siegel (1987) parametric yield curve.

pchip

Piecewise Cubic Hermite Interpolating Polynomial (PCHIP).

schedule

Schedule generation — coupon/pillar date sequences. Phase 0 finisher.

spline

Natural cubic spline interpolation.

svensson

Svensson (1994) parametric yield curve.

Enums

YieldCurveError

Errors returned by curve construction.

Traits

YieldCurveInterpolator

Common interface for all yield curve methods.