Convex Mono

Subtype of Interp Method

The reference quantity is interpolated according to the QuantLib ConvexMonotone method.
This results in the reference quantity being both convex (positive second derivative) and monotone (non-vanishing fiorst derivative), both within the intervals and at the interpolating nodes. Web reference available
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 less than 1 and/or quadraticity greater than 0 produces smoother curves.
Extra enhancement to avoid negative values (if required) is in place.

This method supports several specifications optionally supplied through an object of type
If the latter object is omitted, the default
Interp#6 is assumed.