Struct Svensson 

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

A Svensson discount curve — Nelson-Siegel with a second hump.

z(τ) = β₀ + β₁·L(τ/λ₁) + β₂·[L(τ/λ₁) − e^{−τ/λ₁}] + β₃·[L(τ/λ₂) − e^{−τ/λ₂}]

with L(x) = (1 − e^{−x})/x. Six parameters, stored [β₀, β₁, β₂, β₃, u₁, u₂]; both decays are squashed into a range, for the reason DECAY_MIN gives.

It nests Nelson-Siegel: at β₃ = 0 the second hump contributes nothing and the shape is the four-parameter one. That is what makes the extra pair worth carrying — a Svensson fit can be no worse than a Nelson-Siegel fit of the same universe.

Fields

reference_date: NaiveDate

params: Vec<f64>

[β₀, β₁, β₂, β₃, u₁, u₂], the u unconstrained decays.

Implementations

impl Svensson

pub const WIDTH: usize = 6

The number of parameters this form carries.

pub fn new( reference_date: NaiveDate, beta0: f64, beta1: f64, beta2: f64, beta3: f64, lambda1: f64, lambda2: f64, ) -> Result<Self, CurveError>

A Svensson curve from its natural parameters.

Errors

CurveError::NonFinite for a non-finite parameter, or 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, f64, f64)

The natural parameters (β₀, β₁, β₂, β₃, λ₁, λ₂), decays squashed back.

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

The free parameters, [β₀, β₁, β₂, β₃, u₁, u₂].

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

This form carrying params verbatim. See NelsonSiegel::from_parameters.

Panics

If params is not WIDTH long.

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

This curve lifted into mode R.

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

One step of a substituted walk.

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

One step of a seeded walk.

Trait Implementations

impl Clone for Svensson

fn clone(&self) -> Svensson

Returns a duplicate of the value.

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

Performs copy-assignment from source.

impl Debug for Svensson

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

Formats the value using the given formatter.

impl PartialEq for Svensson

fn eq(&self, other: &Svensson) -> 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 Svensson