Step curves

use chrono::NaiveDate;
use helixio_docs_sheets::SOFR_CLOSE_DATE;
use helixrs::{Curve, KnotKind, StepForward, YieldCurve};

type Outcome<T> = Result<T, Box<dyn std::error::Error>>;

fn date((year, month, day): (i32, u32, u32)) -> NaiveDate {
    NaiveDate::from_ymd_opt(year, month, day).expect("a real calendar date")
}

fn main() -> Outcome<()> {
    let reference = date(SOFR_CLOSE_DATE);

    // The overnight rate the desk expects, window by window: unchanged to the
    // October decision, cut at October and December, a premium over the year end,
    // then held. Each knot is tagged with the event that starts there.
    let path = [
        (date((2026, 10, 29)), "meeting:FED", 0.0390),
        (date((2026, 12, 10)), "meeting:FED", 0.0365),
        (date((2026, 12, 31)), "turn", 0.0340),
        (date((2027, 1, 4)), "anon", 0.0440),
        (date((2027, 10, 1)), "anon", 0.0340),
    ];
    let (mut factors, mut factor, mut start) = (Vec::new(), 1.0_f64, reference);
    let mut knots = Vec::new();
    for (end, tag, rate) in path {
        factor *= (-rate * (end - start).num_days() as f64 / 365.0).exp();
        factors.push(factor);
        knots.push((end, KnotKind::from_tag(tag, end)?));
        start = end;
    }
    let step = StepForward::from_discount_factors(reference, &knots, &factors)?;
    let tags: Vec<String> = step.knot_kinds().iter().map(KnotKind::tag).collect();
    println!("knots  {}", tags.join(", "));
    let curve = Curve::Step(step);
    let view = curve.view::<f64>();

    // Between two knots the forward is the path's rate for that window.
    let mut start = reference;
    for (end, _, rate) in path {
        let forward = view.forward_rate(start, end)?;
        println!("{start} - {end}  {forward:.6}");
        start = end;
    }

    // Inside a window the forward is the same whichever part of it is read.
    let first = view.forward_rate(date((2026, 11, 2)), date((2026, 11, 9)))?;
    let second = view.forward_rate(date((2026, 11, 30)), date((2026, 12, 7)))?;
    println!("two weeks inside one window  {first:.8} {second:.8}");

    Ok(())
}

import datetime as dt
import math

import helixio as hlx
from desk_sheets import SOFR_CLOSE_DATE

REFERENCE = SOFR_CLOSE_DATE

# The overnight rate the desk expects, window by window: unchanged to the
# October decision, cut at October and December, a premium over the year end,
# then held. Each knot is tagged with the event that starts there.
PATH = [
    (dt.date(2026, 10, 29), "meeting:FED", 0.0390),
    (dt.date(2026, 12, 10), "meeting:FED", 0.0365),
    (dt.date(2026, 12, 31), "turn", 0.0340),
    (dt.date(2027, 1, 4), "anon", 0.0440),
    (dt.date(2027, 10, 1), "anon", 0.0340),
]
factors, factor, start = [], 1.0, REFERENCE
for end, _, rate in PATH:
    factor *= math.exp(-rate * (end - start).days / 365.0)
    factors.append(factor)
    start = end
curve = hlx.curves.DiscountCurve.step_forward(REFERENCE, [(d, tag) for d, tag, _ in PATH], factors)
print(f"knots  {', '.join(curve.knot_tags())}")

# Between two knots the forward is the path's rate for that window.
start = REFERENCE
for end, tag, rate in PATH:
    forward = curve.forward_rate(start, end)
    print(f"{start} - {end}  {forward:.6f}")
    start = end

# Inside a window the forward is the same whichever part of it is read.
first = curve.forward_rate(dt.date(2026, 11, 2), dt.date(2026, 11, 9))
second = curve.forward_rate(dt.date(2026, 11, 30), dt.date(2026, 12, 7))
print(f"two weeks inside one window  {first:.8f} {second:.8f}")