Curves

Curves can be fit to market data. Here we include an example of a spot curve being fitted.

use time::{macros::date, Date};
use RustQuant::data::{Curves, SpotCurve};
use RustQuant::time::oceania::australia::AustraliaCalendar;

fn main() {
    let mut spot_curve = SpotCurve::<Date, AustraliaCalendar>::new(&DATES, &RATES);

    spot_curve.get_rates(&NEW_DATES);

    spot_curve.plot();
}

const DATES: [Date; 33] = [
    date!(2024 - 11 - 03),
    date!(2025 - 02 - 02),
    date!(2025 - 05 - 04),
    date!(2025 - 08 - 04),
    date!(2026 - 08 - 04),
    date!(2027 - 08 - 04),
    date!(2028 - 08 - 03),
    date!(2029 - 08 - 03),
    date!(2030 - 08 - 03),
    date!(2031 - 08 - 03),
    date!(2032 - 08 - 02),
    date!(2033 - 08 - 02),
    date!(2034 - 08 - 02),
    date!(2035 - 08 - 02),
    date!(2036 - 08 - 01),
    date!(2037 - 08 - 01),
    date!(2038 - 08 - 01),
    date!(2039 - 08 - 01),
    date!(2040 - 07 - 31),
    date!(2041 - 07 - 31),
    date!(2042 - 07 - 31),
    date!(2043 - 07 - 31),
    date!(2044 - 07 - 30),
    date!(2045 - 07 - 30),
    date!(2046 - 07 - 30),
    date!(2047 - 07 - 30),
    date!(2048 - 07 - 29),
    date!(2049 - 07 - 29),
    date!(2050 - 07 - 29),
    date!(2051 - 07 - 29),
    date!(2052 - 07 - 28),
    date!(2053 - 07 - 28),
    date!(2054 - 07 - 28),
];

#[rustfmt::skip]
const RATES: [f64; 33] = [
    0.03400521, 
    0.03259227, 
    0.0313705, 
    0.03031886, 
    0.02746567, 
    0.02614014, 
    0.02574612, 
    0.02590431,
    0.02637474, 
    0.02700684, 
    0.02770726, 
    0.02841916, 
    0.02910886, 
    0.02975736, 
    0.03035484, 
    0.03089715,
    0.0313836, 
    0.03181554, 
    0.03219547, 
    0.03252652, 
    0.03281203, 
    0.03305541, 
    0.03326001, 
    0.033429,
    0.03356541, 
    0.03367205, 
    0.03375153, 
    0.03380629, 
    0.03383858, 
    0.03385046, 
    0.03384384, 
    0.03382048,
    0.033782,
];

const NEW_DATES: [Date; 14] = [
    date!(2025 - 01 - 01),
    date!(2026 - 01 - 01),
    date!(2027 - 01 - 01),
    date!(2028 - 01 - 01),
    date!(2029 - 01 - 01),
    date!(2030 - 01 - 01),
    date!(2033 - 01 - 01),
    date!(2036 - 01 - 01),
    date!(2040 - 01 - 01),
    date!(2044 - 01 - 01),
    date!(2046 - 01 - 01),
    date!(2048 - 01 - 01),
    date!(2050 - 01 - 01),
    date!(2053 - 01 - 01),
];