Struct NelsonSiegel 

pub struct NelsonSiegel {
    reference_date: NaiveDate,
    params: Vec<f64>,
}

A Nelson-Siegel discount curve.

The zero rate is

z(τ) = β₀ + β₁·(1 − e^{−τ/λ})/(τ/λ) + β₂·[(1 − e^{−τ/λ})/(τ/λ) − e^{−τ/λ}]

— a level, a slope decaying to nothing, and a hump peaking near λ. Four parameters, stored [β₀, β₁, β₂, u].

The decay is stored squashed into a range. A fit steps freely over the parameter vector, and both λ ≤ 0 and λ → ∞ are unusable — the first is not a curve, the second makes the three β unidentified. See DECAY_MIN, which explains what a fit does when the bound is absent.

Fields

reference_date: NaiveDate

params: Vec<f64>

[β₀, β₁, β₂, u], u the unconstrained decay.

Implementations

impl NelsonSiegel

pub const WIDTH: usize = 4

The number of parameters this form carries.

pub fn new( reference_date: NaiveDate, beta0: f64, beta1: f64, beta2: f64, lambda: f64, ) -> Result<Self, CurveError>

A Nelson-Siegel curve from its natural parameters.

Errors

CurveError::NonFinite for a non-finite parameter, and for a decay that is not strictly positive.

pub fn reference_date(&self) -> NaiveDate

The curve’s reference date.

pub fn natural(&self) -> (f64, f64, f64, f64)

The natural parameters (β₀, β₁, β₂, λ), with the decay squashed back out of its stored unconstrained form.

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

The free parameters, [β₀, β₁, β₂, u] with u the unconstrained form of the decay — the vector a fit steps over and a risk lift attributes to.

pub fn from_parameters(reference_date: NaiveDate, params: &[f64]) -> Self

This form carrying params verbatim — the stored vector, decay included in its unconstrained form.

What a fit hands back at its solution. Reconstructing through new instead would squash a decay that is already squashed, and a parameter sitting near its bound would move.

Panics

If params is not WIDTH long.

pub fn view<R: Scalar>(&self) -> NelsonSiegelView<'_, R>

This curve lifted into mode R.

pub(crate) fn view_with_slice<'a, R: Scalar>( &'a self, rest: &mut &'a [R], ) -> NelsonSiegelView<'a, R>

One step of a substituted walk. See take_params.

pub(crate) fn view_seeding<R: Scalar + Seedable>( &self, seed: &mut Option<usize>, ) -> NelsonSiegelView<'_, R>

One step of a seeded walk. See take_seed.

Trait Implementations

impl Clone for NelsonSiegel

fn clone(&self) -> NelsonSiegel

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for NelsonSiegel

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

Formats the value using the given formatter.

impl PartialEq for NelsonSiegel

fn eq(&self, other: &NelsonSiegel) -> 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 StructuralPartialEq for NelsonSiegel