Enhances implementation of the convex monotone method
described in "Interpolation Methods for Curve Construction" by
Hagan & West AMF Vol 13, No2 2006.
A setting of monotonicity = 1 and quadraticity = 0 will
reproduce the basic Hagan/West method. However, this can
produce excessive gradients which can mean P&L swings for some
curves. Setting monotonicity < 1 and/or quadraticity > 0
produces smoother curves. Extra enhancement to avoid negative
values (if required) is in place.
Convex monotone yield-curve interpolation method.
Enhances implementation of the convex monotone method described in "Interpolation Methods for Curve Construction" by Hagan & West AMF Vol 13, No2 2006.
A setting of monotonicity = 1 and quadraticity = 0 will reproduce the basic Hagan/West method. However, this can produce excessive gradients which can mean P&L swings for some curves. Setting monotonicity < 1 and/or quadraticity > 0 produces smoother curves. Extra enhancement to avoid negative values (if required) is in place.