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curves_spot.rs
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curves_spot.rs
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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),
];