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Add Hagan-West monotone-convex discount interpolation (#46) - #403

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domokane merged 1 commit into
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AIM-IT4:feature/hagan-west-monotone-46
Oct 16, 2026
Merged

domokane merged 1 commit into
domokane:masterfrom
AIM-IT4:feature/hagan-west-monotone-46

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@AIM-IT4 AIM-IT4 commented Oct 15, 2026

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Addresses a part of #46 (Hagan–West monotone-convex spline; other requested methods remain out of scope).

  • Implements continuous instantaneous-forward interpolation using the piecewise Hagan–West 2008 regions and exact integrated forwards.
  • Reproduces every supplied discount-factor knot by construction; supports mixed/negative forward rates and flat-forward extrapolation.
  • Wires InterpTypes.MONOTONE_CONVEX through Interpolator.fit/interpolate and the existing DiscountCurve API, including callers whose first knot is later than t=0.
  • Does not mark the method as bootstrap-local: interpolation can change when later knots are added.
  • Tests pricing-knot/integral consistency (numerical quadrature), flat curves, negative rates, the published reference example and existing interpolation/discount-curve behaviors.

Local: 29 tests passed (new coverage and existing interpolation/discount tests).

Reference: Hagan and West, Methods for Constructing a Yield Curve (2008), equations 22–32 (https://dlu-umich.github.io/docs/HaganWest.pdf). CI pending.

@domokane
domokane merged commit 004f9f4 into domokane:master Oct 16, 2026
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2 participants