Interpolation issue with Hagan West Monotone Convex

[bigfatwhale]

The following input seems to give bad output with a strange jump,

reference_times = np.array([0.08219178, 0.12328767, 0.16438356, 0.24657534, 0.32876712, 0.4109589, 0.49315068, 0.98630137, 1.02191781], dtype=np.float64)
yields = np.array([2.5e-5, 1.189e-4, 2.151e-4, 4.236e-4, 6.5e-4, 8.905e-4, 1.141e-3, 2.6321e-3, 4.366e-3], dtype=np.float64)
interp_times = np.linspace(0.1, 1.0, 100, dtype=np.float64)
interp_yields = monotone_convex.interpolate_yields(interp_times, reference_times, yields=yields)

Plotting it out gives,

Can someone kindly advise?

Regards,

[cyrilchim]

Hi, thank you for reporting the issue!

There was a bug in the code which is fixed in the latest commit

Using the nightly version (pip install tff-nightly), I run your code and get

Please let me know if this solves the issue

[bigfatwhale]

Many thanks for the prompt turnaround! Let me try it out and report back :)

Cheers,

[bigfatwhale]

I've tested and the fix looks good!

Thanks